A copula goodness-offit approach based on the conditional probability integral transformation ∗ ∗

@inproceedings{Berg2007ACG,
  title={A copula goodness-offit approach based on the conditional probability integral transformation ∗ ∗},
  author={Daniel Berg},
  year={2007}
}
Goodness-of-fit testing for copulae recently emerged as a challenging inferential problem and some approaches have been proposed. We investigate such an approach based on the conditional probability integral transformation. This approach implicitly weights observations at corners and edges of the unit hypercube which makes it very powerful at detecting tail heaviness for large sample sizes. However, it is shown to perform rather poor for small sample sizes. We propose a generalization that… CONTINUE READING