Abstract
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.
Original language | English |
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Pages (from-to) | 154-197 |
Number of pages | 44 |
Journal | Dependence Modeling |
Volume | 5 |
Issue number | 1 |
DOIs | |
Publication status | Published - 1 Jan 2017 |
Externally published | Yes |
Keywords
- Bootstrap
- Conditional copula
- Simplifying assumption
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Dive into the research topics of 'About tests of the "simplifying" assumption for conditional copulas'. Together they form a unique fingerprint.Datasets
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CondCopulas: Estimation and Inference for Conditional Copula Models
Derumigny, A. F. F. (Creator), Fermanian, J. D. (Contributor), Min, A. (Contributor) & van der Spek, R. A. J. (Contributor), TU Delft - 4TU.ResearchData, 26 Sept 2022
https://github.com/AlexisDerumigny/CondCopulas and one more link, https://CRAN.R-project.org/package=CondCopulas (show fewer)
Dataset/Software: Software