A Note on : testing the Copula Based on Densities

  • We consider the problem of testing whether the density of a mul- tivariate random variable can be expressed by a prespecified copula function and the marginal densities. The proposed test procedure is based on the asymptotic normality of the properly standardized integrated squared distance between a multivariate kernel density estimator and an estimator of its expectation under the hypothesis. The test of independence is a special case of this approach.

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Metadaten
Author details:Hannelore Liero
URN:urn:nbn:de:kobv:517-opus-49393
Publication series (Volume number):Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint (2006, 02)
Publication type:Preprint
Language:English
Publication year:2006
Publishing institution:Universität Potsdam
Release date:2011/03/29
RVK - Regensburg classification:SI 990
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
DDC classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
License (German):License LogoKeine öffentliche Lizenz: Unter Urheberrechtsschutz
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