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Activity Number:
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587
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Type:
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Topic Contributed
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Date/Time:
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Thursday, August 6, 2009 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #303867 |
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Title:
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Local Power Analyses of Goodness-of-Fit Tests for Copulas
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Author(s):
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Jean-Francois Quessy*+
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Companies:
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Universite du Quebec a Trois-Rivieres
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Address:
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3351, boul. des Forges, C.P. 500, Trois-Rivieres, QC, G9A 5H7, Canada
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Keywords:
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contiguous alternatives ; copula process ; Cramér-von Mises ; goodness-of-fit ; local power ; rank-based estimators
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Abstract:
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In this talk, I will present some results about the asymptotic behavior of several goodness-of-fit (GoF) statistics for copula families under contiguous alternatives. This will enable to compare the efficiency of the empirical copula process and of new moment-based GoF statistics via their local power curves. In particular, it will be seen that the choice of the estimator for the unknown parameter can have a significant influence on the power of the Cramér-von Mises test, and that some of the moment-based statistics can provide simple and efficient GoF methods. Further, a new measure of asymptotic relative efficiency (ARE), generalizing Pitman's ARE, will be described and computed for some cases of interest.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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