About tests of the “simplifying” assumption for conditional copulas

• Autorzy: Alexis Derumigny , Jean-David Fermanian
• Języki publikacji: EN

Abstrakty

EN

We discuss the so-called “simplifying assumption” of conditional copulas in a general framework. We introduce several tests of the latter assumption for non- and semiparametric copula models. Some related test procedures based on conditioning subsets instead of point-wise events are proposed. The limiting distributions of such test statistics under the null are approximated by several bootstrap schemes, most of them being new. We prove the validity of a particular semiparametric bootstrap scheme. Some simulations illustrate the relevance of our results.

Słowa kluczowe

EN

conditional copula; simplifying assumption; bootstrap

Kategorie tematyczne

• 62G05: Estimation
• 62G09: Resampling methods
• 62G08: Nonparametric regression

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2017
• Tom: 5
• Numer: 1
• Strony: 154-197

Daty

wydano

2017-08-28

otrzymano

2016-12-18

zaakceptowano

2017-06-30

online

2017-09-06

Twórcy

autor

Alexis Derumigny

• cedex,

autor

Jean-David Fermanian

• cedex,

Identyfikatory

DOI

10.1515/demo-2017-0011