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Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

Christian Genest;  Bruno Rémillard — 2008

Annales de l'I.H.P. Probabilités et statistiques

In testing that a given distribution belongs to a parameterized family 𝒫 , one is often led to compare a nonparametric estimate of some functional of with an element corresponding to an estimate of . In many cases, the asymptotic distribution of goodness-of-fit statistics derived from the process ( − ) depends on the unknown distribution . It is shown here that if the sequences and ...

Forecasting time series with multivariate copulas

Clarence Simard;  Bruno Rémillard — 2015

Dependence Modeling

In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the predictions evolves when changing the strength of the different possible dependencies, as well as the structure of the dependence. We also look at the impact of the marginal distributions. The impact of estimation errors on the performance of the predictions is also considered. In all the experiments, we compare predictions from our multivariate...

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