A goodness-of-fit test for regular vine copula models

@article{Schepsmeier2013AGT,
  title={A goodness-of-fit test for regular vine copula models},
  author={Ulf Schepsmeier},
  journal={Econometric Reviews},
  year={2013},
  volume={38},
  pages={25 - 46}
}
ABSTRACT We introduce a new goodness-of-fit test for regular vine (R-vine) copula models, a very flexible class of multivariate copulas based on a pair-copula construction (PCC). The test arises from White’s information matrix test and extends an existing goodness-of-fit test for copulas. The corresponding critical value can be approximated by asymptotic theory or simulation. The simulation based test shows excellent performance with regard to observed size and power in an extensive simulation… 
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A new goodness-of-fit test for regular vine (R-vine) copula models, a flexible class of multivariate copulas based on a pair-copula construction (PCC), arises from the information matrix ratio and assumes fixed margins.
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