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Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
Article first published online: 17 MAR 2006
DOI: 10.1111/j.1467-9469.2006.00470.x
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How to Cite
GENEST, C., QUESSY, J.-F. and RÉMILLARD, B. (2006), Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation. Scandinavian Journal of Statistics, 33: 337–366. doi: 10.1111/j.1467-9469.2006.00470.x
Publication History
- Issue published online: 2 MAY 2006
- Article first published online: 17 MAR 2006
- Received September 2003, in final form June 2005
- Abstract
- Article
- References
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Keywords:
- empirical process;
- Kendall's tau;
- probability integral transformation;
- pseudo-observation
Abstract. Wang & Wells [J. Amer. Statist. Assoc. 95 (2000) 62] describe a non-parametric approach for checking whether the dependence structure of a random sample of censored bivariate data is appropriately modelled by a given family of Archimedean copulas. Their procedure is based on a truncated version of the Kendall process introduced by Genest & Rivest [J. Amer. Statist. Assoc. 88 (1993) 1034] and later studied by Barbe et al. [J. Multivariate Anal. 58 (1996) 197]. Although Wang & Wells (2000) determine the asymptotic behaviour of their truncated process, their model selection method is based exclusively on the observed value of its L2-norm. This paper shows how to compute asymptotic p-values for various goodness-of-fit test statistics based on a non-truncated version of Kendall's process. Conditions for weak convergence are met in the most common copula models, whether Archimedean or not. The empirical behaviour of the proposed goodness-of-fit tests is studied by simulation, and power comparisons are made with a test proposed by Shih [Biometrika 85 (1998) 189] for the gamma frailty family.