Goodness-of-fit Tests For Elliptical And Independent Copulas Through Projection Pursuit

Details Goodness-of-fit Tests For Elliptical And Independent Copulas Through Projection Pursuit Goodness-of-fit Tests For Elliptical And Independent Copulas Through Projection Pursuit

2011-03-02

arxiv.org/abs/1103.0498v1

Mathematics

Statistics Theory

31 pages

Scientific paper

Two goodness-of-fit tests for copulas are being investigated. The first one deals with the case of elliptical copulas and the second one deals with independent copulas. These tests result from the expansion of the projection pursuit methodology we will introduce in the present article. This method enables us to determine on which axis system these copulas lie as well as the exact value of these very copulas in the basis formed by the axes previously determined irrespective of their value in their canonical basis. Simulations are also presented as well as an application to real datasets.

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