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Title: Testing hypotheses for the copula of dynamic models Authors:  Bruno N Remillard - HEC Montreal (Canada) [presenting]
Abstract: The asymptotic behaviour of the empirical copula constructed from residuals of dynamic models is studied, for univariate and multivariate models. For multivariate models, it is shown that the empirical copula process sometimes behaves like if the parameters were known, a remarkable property. This is not true for the so-called auto-copula in the univariate case. Applications for goodness-of-fit, detection of structural change and tests of randomness are discussed.