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.
- Conditional copula
- Simplifying assumption
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Derumigny, A. F. F. (Creator), Fermanian, J. D. (Contributor), Min, A. (Contributor) & van der Spek, R. A. J. (Contributor), TU Delft - 4TU.ResearchData, 2022