An Overview of the Goodness-of-Fit Test Problem for Copulas

Abstract

We review the main “omnibus procedures” for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall’s dependence function, etc., and some corresponding reductions of dimension techniques. The problems of finding asymptotic distribution-free test statistics and the calculation of reliable p-values are discussed. Some particular cases, like convenient tests for time-dependent copulas, for Archimedean or extreme-value copulas, etc, are dealt with. Finally, the practical performances of the proposed approaches are briefly summarized.

Keywords: Copulas, Goodness-of-fit

JEL Classification: C1, C52