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.
Author details: | Hannelore Liero |
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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): | Keine öffentliche Lizenz: Unter Urheberrechtsschutz |