139
Views
1
CrossRef citations to date
0
Altmetric
Article

A goodness-of fit improvement based on τ-preserving transformation for semiparametric family of copulas

&
Pages 7699-7708 | Received 12 Jan 2022, Accepted 09 Mar 2022, Published online: 18 Mar 2022

References

  • Amblard, C, and S. Girard. 2002. Symmetry and dependence properties within a semiparametric family of bivariate copulas. Journal of Nonparametric Statistics 14 (6):715–27. doi:10.1080/10485250215322.
  • Amblard, C, and S. Girard. 2005. Estimation procedures for a semiparametric family of bivariate copulas. Journal of Computational and Graphical Statistics 14 (2):363–77. doi:10.1198/106186005X48722.
  • Bairamov, I, and K. Bayramoglu. 2013. From the Huang-Kotz FGM distribution to Baker’s bivariate distribution. Journal of Multivariate Analysis 113:106–15. doi:10.1016/j.jmva.2011.03.001.
  • Berg, D. 2009. Copula goodness-of-fit testing: An overview and power comparison. The European Journal of Finance 15 (7–8):675–701. doi:10.1080/13518470802697428.
  • Capéraá, P., A.-L. Fougéres, and C. Genest. 1997. A nonparametric estimation procedure for bivariate extreme value copulas. Biometrika 84:567–77.
  • Deheuvels, P. 1979. La fonction de dépendance empirique et ses propriétés: Un test non paramétrique d’indépendance. Bulletin de la Classe Des Sciences 65 (1):274–92. doi:10.3406/barb.1979.58521.
  • Denuit, M, and O. Scaillet. 2004. Nonparametric tests for positive quadrant dependence. Journal of Financial Econometrics 2 (3):422–50. doi:10.1093/jjfinec/nbh017.
  • Fermanian, J. D, and O. Scaillet. 2003. Nonparametric estimation of copulas for time series. The Journal of Risk 5 (4):25–54. doi:10.21314/JOR.2003.082.
  • Fermanian, J. D. 2005. Goodness-of-fit tests for copulas. Journal of Multivariate Analysis 95 (1):119–52. doi:10.1016/j.jmva.2004.07.004.
  • Frahm, G., M. Junker, and A. Szimayer. 2003. Elliptical copulas: Applicability and limitations. Statistics and Probability Letters 63 (3):275–86. doi:10.1016/S0167-7152(03)00092-0.
  • Genest, C, and J. MacKay. 1986. Copules Archimédiennes et Familles de lois Bidimensionnelles dont les Marges Sont données. Canadian Journal of Statistics 14 (2):145–59. doi:10.2307/3314660.
  • Genest, C, and L. Rivest. 1993. Statistical inference procedures for bivariate Archimedean copulas. Journal of the American Statistical Association 88 (423):1034–43. doi:10.1080/01621459.1993.10476372.
  • Ghoudi, K, and B. Rémillard. 2004. Empirical processes based on pseudo-observations II: The multivariate case. Fields Institute Communications 44:381–406.
  • Joe, H, and J. J. Xu. 1996. The estimation method of inference functions for margins for multivariate models. Technical Report, 166, University of British Columbia, Vancouver.
  • Michiels, F, and A. De Schepper. 2012. How to improve the fit of Archimedean copulas by means of transforms. Statistical Papers 53 (2):345–55. doi:10.1007/s00362-010-0341-6.
  • Nelsen, R. B. 2006. An introduction to copulas. New York: Springer.
  • Quesada-Molina, J. J, and J. A. Rodríguez-Lallena. 1995. Bivariate copulas with quadratic sections. Narametric Statistics 5 (4):323–37. doi:10.1080/10485259508832652.
  • Rodriguez-Lallena, J. A. 1992. Estudio de la compabilidad y diseno de nuevas familias la teoria de copulas Aplicaciones. Tesis doctoral, Universidad de Granada.
  • Scaillet, O. 2005. A Kolmogorov-Smirnov type test for positive quadrant dependence. Canadian Journal of Statistics 33 (3):415–27. doi:10.1002/cjs.5540330307.
  • Scaillet, O. 2007. Kernel based goodness-of-fit tests for copulas with fixed smoothing parameters. Journal of Multivariate Analysis 98 (3):533–43. doi:10.1016/j.jmva.2006.05.006.
  • Sklar, A. 1959. Fonctions de repartition a n dimensions et leurs marges. Publications de Institut Statistique de L’Universite de Paris 8:229–31.
  • Susam, S. O, and B. Hudaverdi Ucer. 2019. Modeling the dependence structure of CO2 emissions and energy consumption based on the Archimedean copula approach: The case of the United States. Energy Sources, Part B: Economics, Planning, and Policy 14 (6):274–89. doi:10.1080/15567249.2019.1671550.
  • Susam, S. O, and B. Hudaverdi Ucer. 2020. A goodness-of-fit test based on Bézier curve estimation of Kendall distribution. Journal of Statistical Computation and Simulation 90 (7):1194–215. doi:10.1080/00949655.2020.1720680.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.