Goodness-of-fit Tests For Elliptical And Independent Copulas Through Projection Pursuit

Jacques Touboul (1)

1 LSTA - Laboratoire de Statistique Théorique et Appliquée

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 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.

Mots clés: Copulas; Goodness-Of-Fit; Projection Pursuit; Elliptical Distributions

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Jacques Touboul. Goodness-of-fit Tests For Elliptical And Independent Copulas Through Projection Pursuit. 2010. ⟨hal-00573018⟩