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Local Power Analyses of Goodness‐of‐fit Tests for Copulas
Author(s) -
BERG DANIEL,
QUESSY JEANFRANÇOIS
Publication year - 2009
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/j.1467-9469.2009.00643.x
Subject(s) - goodness of fit , mathematics , copula (linguistics) , estimator , statistics , econometrics , moment (physics) , physics , classical mechanics
. The asymptotic behaviour of several goodness‐of‐fit statistics for copula families is obtained under contiguous alternatives. Many comparisons between a Cramér–von Mises functional of the empirical copula process and new moment‐based goodness‐of‐fit statistics are made by considering their associated asymptotic local power curves. It is shown that the choice of the estimator for the unknown parameter can have a significant influence on the power of the Cramér–von Mises test and that some of the moment‐based statistics can provide simple and efficient goodness‐of‐fit methods.