On a new goodness‐of‐fit process for families of copulas

• DOI: 10.1002/cjs.10006
• Publication Date: 2009-03-31T05:29:05Z
• Authors: Mhamed Mesfioui; Jean‐François Quessy; Marie‐Hélène Toupin
• Keywords: 0502 economics and business; 05 social sciences

AbstractA goodness‐of‐fit procedure is proposed for parametric families of copulas. The new test statistics are functionals of an empirical process based on the theoretical and sample versions of Spearman's dependence function. Conditions under which this empirical process converges weakly are seen to hold for many families including the Gaussian, Frank, and generalized Farlie–Gumbel–Morgenstern systems of distributions, as well as the models with singular components described by Durante [Durante (2007) Comptes Rendus Mathématique. Académie des Sciences. Paris, 344, 195–198]. Thanks to a parametric bootstrap method that allows to compute valid P‐values, it is shown empirically that tests based on Cramér–von Mises distances keep their size under the null hypothesis. Simulations attesting the power of the newly proposed tests, comparisons with competing procedures and complete analyses of real hydrological and financial data sets are presented. The Canadian Journal of Statistics 37: 80‐101; 2009 © 2009 Statistical Society of Canada