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Algorithms 2011, 4(2), 87-114; doi:10.3390/a4020087
Article

Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit

Received: 15 March 2011 / Revised: 5 April 2011 / Accepted: 8 April 2011 / Published: 26 April 2011
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Abstract

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 that 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.
Keywords: copulas; goodness-of-fit; projection pursuit; elliptical distributions copulas; goodness-of-fit; projection pursuit; elliptical distributions
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Touboul, J. Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit. Algorithms 2011, 4, 87-114.

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