Local Power Analyses of Goodness-of-fit Tests for Copulas |
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| Authors: | DANIEL BERG JEAN-FRANÇOIS QUESSY |
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| Institution: | Department of Mathematics, University of Oslo and Norwegian Computing Center;
Département de mathématiques et d'informatique, Universitédu Québec àTrois-Rivières |
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| Abstract: | Abstract. 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. |
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| Keywords: | contiguous alternatives copula Cramér–von Mises statistic empirical copula process goodness-of-fit test local power curves rank-based estimators |
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