About tests of the “simplifying” assumption for conditional copulas

Alexis Derumigny, and Jean-David Fermanian. "About tests of the “simplifying” assumption for conditional copulas." Dependence Modeling 5.1 (2017): 154-197. <http://eudml.org/doc/288281>.

@article{AlexisDerumigny2017,
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.},
author = {Alexis Derumigny, Jean-David Fermanian},
journal = {Dependence Modeling},
keywords = {conditional copula; simplifying assumption; bootstrap},
language = {eng},
number = {1},
pages = {154-197},
title = {About tests of the “simplifying” assumption for conditional copulas},
url = {http://eudml.org/doc/288281},
volume = {5},
year = {2017},
}

TY - JOUR
AU - Alexis Derumigny
AU - Jean-David Fermanian
TI - About tests of the “simplifying” assumption for conditional copulas
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 154
EP - 197
AB - 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.
LA - eng
KW - conditional copula; simplifying assumption; bootstrap
UR - http://eudml.org/doc/288281
ER -