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.

Download full text files

Export metadata

  • Export Bibtex
  • Export RIS
  • Export XML

Additional Services

Share in Twitter Search Google Scholar
Author:Hannelore Liero
Series (Serial Number):Mathematische Statistik und Wahrscheinlichkeitstheorie : Preprint (2006, 02)
Document Type:Preprint
Year of Completion:2006
Publishing Institution:Universität Potsdam
Release Date:2011/03/29
RVK - Regensburg Classification:SI 990
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
Licence (German):License LogoKeine Nutzungslizenz vergeben - es gilt das deutsche Urheberrecht