We discuss the so-called “simplifying assumption” of conditional copulas in a general framework. We introduce several tests of the latter assumption for non- and semiparametric copula models. Some related test procedures based on conditioning subsets instead of point-wise events are proposed. The limiting distributions of such test statistics under the null are approximated by several bootstrap schemes, most of them being new. We prove the validity of a particular semiparametric bootstrap scheme. Some simulations illustrate the relevance of our results.
@article{bwmeta1.element.doi-10_1515_demo-2017-0011,
author = {Alexis Derumigny and Jean-David Fermanian},
title = {About tests of the ``simplifying'' assumption for conditional copulas},
journal = {Dependence Modeling},
volume = {5},
year = {2017},
pages = {154-197},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0011}
}
Alexis Derumigny; Jean-David Fermanian. About tests of the “simplifying” assumption for conditional copulas. Dependence Modeling, Tome 5 (2017) pp. 154-197. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0011/