The Comparison Between Goodness of Fit Tests for Copula

Goodness-of-fit Tests for Archimedean Copula Models

In this paper, we propose two tests for parametric models belonging to the Archimedean copula family, one for uncensored bivariate data and the other one for right-censored bivariate data. Our test procedures are based on the Fisher transform of the correlation coefficient of a bivariate (U, V ), which is a one-toone transform of the original random pair (T1, T2) that can be modeled by an Archi...

Comparison of Different Goodness-of-fit Tests

Abstract Various distribution free goodness-of-fit test procedures have been extracted from literature. We present two new binning free tests, the univariate three-region-test and the multivariate energy test. The power of the selected tests with respect to different slowly varying distortions of experimental distributions are investigated. None of the tests is optimum for all distortions. The ...

A test of goodness-of-fit for the copula densities

We consider the problem of testing hypotheses on the copula density from n bidimensional observations. We wish to test the null hypothesis characterized by a parametric class against a composite nonparametric alternative. Each density under the alternative is separated in the L2-norm from any density lying in the null hypothesis. The copula densities under consideration are supposed to belong t...

On the Canonical-Based Goodness-of-fit Tests for Multivariate Skew-Normality

It is well-known that the skew-normal distribution can provide an alternative model to the normal distribution for analyzing asymmetric data. The aim of this paper is to propose two goodness-of-fit tests for assessing whether a sample comes from a multivariate skew-normal (MSN) distribution. We address the problem of multivariate skew-normality goodness-of-fit based on the empirical Laplace tra...

On Goodness-of-fit Tests

Goodness-of-Fit for Revealed Preference Tests

I describe a goodness-of-fit measure for revealed preference tests. This index can be used to measure the degree to which an economic agent violates the model of utility maximization. I calculate the violation indices for a 38 consumers and find that the observed choice behavior is very close to optimizing behavior.