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Goodness-of-fit tests for copulas |
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| Authors: | Jean-David Fermanian |
| Affiliation: | a CREST, 15 bd Gabriel Péri, 92245 Malakoff cedex, France b CDC Ixis Capital Markets, 47 quai d’Austerlitz, 75678 Paris cedex 13, France |
| Abstract: | This paper defines two distribution free goodness-of-fit test statistics for copulas. It states their asymptotic distributions under some composite parametric assumptions in an independent identically distributed framework. A short simulation study is provided to assess their power performances. |
| Keywords: | 62G 62P |
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