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A Goodness of Fit Test for Copulas Based on Rosenblatt's Transformation
Company: Computational Statistics and Data Analysis
Company Url: Click here to open
Year Of Publication: 2007
Month Of Publication: May
Resource Link: Click here to open
Pages: 4633-4642
Download Count: 0
View Count: 1480
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 10-16-2010
Publisher: Administrator
Summary
A goodness of fit test for copulas based on Rosenblatt's transformation is investigated. This test performs well if the marginal distribution functions are known and are used in the test statistic. If the marginal distribution functions are unknown and are replaced by their empirical estimates, then the test's properties change significantly. This is shown in detail by simulation for special cases. A bootstrap version of the test is suggested and it is shown by simulation that it performs well. An empirical application of this test to daily returns of German assets reveals that a Gaussian copula is unsuitable to describe their dependence structure. A t-copula with low degrees of freedom such as n=4 or 5 fits the data in some cases.
(volume 51, number 9)
Author(s)
Schmid, Friedrich Sign in to follow this author
Dobric, Jadran Sign in to follow this author
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