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Bootstrapping L2-type statistics in copula density testing
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Volker Rehbock
Published/Copyright:
September 25, 2009
Summary
In this paper, we address the problem of testing the goodness of fit of a copula density function in the context of a d-dimensional i.i.d. sample by using a L2-type statistic. In extension to Fermanian [4], we propose to use a bootstrap approximation of the distribution of the test statistic. We show the validity of the bootstrap and perform a simulation study. Stochastic independence can be characterised in terms of the underlying copula and so we use the test as a test of independence.
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Received: 2007-February-22
Accepted: 2008-March-28
Published Online: 2009-09-25
Published in Print: 2007-10
© Oldenbourg Wissenschaftsverlag
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Articles in the same Issue
- Letter from the editor
- Importance sampling for simulations of moderate deviation probabilities of statistics
- Dynamic utility-based good deal bounds
- Pricing and hedging with globally and instantaneously vanishing risk
- Bootstrapping L2-type statistics in copula density testing
