2016/12/21 by Derumigny, Alexis, Fermanian, Jean-David
#62G05 #62G08 #62G09 #FOS: Mathematics #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.1612.07349
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 distribution 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.