Smooth Test for Elliptical Copulas

DOI

10.2991/amms-17.2017.51How to use a DOI?

Keywords

elliptical copulas; spherical harmonics; smooth test; p-value; t- copulas

Abstract

Based on the Cholesky decomposition and spherical harmonics, we propose the smooth test for testing the elliptical copulas. The asymptotic null distribution of the transformed sample is obtained. An algorithm is given to estimate the p-value of the test statistic by Monte Carlo simulation. The maximum goodness-of-fit estimation can be used to estimate the copula parameters. An example is provided in order to illustrate the smooth test for the multivariate t- copulas.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Download article (PDF)

TY  - CONF
AU  - Yan Su
AU  - Xiaoxu Zhou
PY  - 2017/11
DA  - 2017/11
TI  - Smooth Test for Elliptical Copulas
BT  - Proceedings of the 2017 International Conference on Applied Mathematics, Modeling and Simulation (AMMS 2017)
PB  - Atlantis Press
SP  - 228
EP  - 233
SN  - 1951-6851
UR  - https://doi.org/10.2991/amms-17.2017.51
DO  - 10.2991/amms-17.2017.51
ID  - Su2017/11
ER  -