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A goodness-of-fit test for bivariate extreme-value copulas
extreme-value copula goodness of fi t parametric bootstrap Pickands dependence function rank-based inference
2011/3/21
It is often reasonable to assume that the dependence structure of a bivariate continuous distribution belongs to the class of extreme-value copulas. The latter are characterized by their Pickands depe...
Adaptive semiparametric wavelet estimator and goodness-of-fit test for long memory linear processes
Statistics Theory (math.ST)
2010/12/17
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet {\it et al...
Adaptive estimator of the memory parameter and goodness-of-fit test using a multidimensional increment ratio statistic
Long-memory Gaussian processes goodness-of-fit test estimation of the memory parameter
2010/10/14
The Increment Ratio (IR) statistic was first defined and studied in Surgailis {\it et al.} (2008) for estimating the long-memory parameter either of a stationary or an increment stationary Gaussian p...
A goodness-of-fit test for parametric and semi-parametric models in multiresponse regression
additive regression bootstrap empirical likelihood goodness of fit infinite-dimensional parameter kernel estimation monotone regression
2010/3/9
We propose an empirical likelihood test that is able to test the goodness of fit of a class of parametric and semi-parametric multiresponse regression models. The class includes as special cases
full...
STOCHASTIC VOLATILITY:APPROXIMATION AND GOODNESS-OF-FIT TEST
Non-parametric estimation goodness-of-fit test stochastic volatility discrete time observation
2009/9/18
Let X be the unique solution started from x0 of the stochastic
differential equation dXt = µ(t;Xt)dBt +b(t;Xt)dt with B a standard
Brownian motion. We consider an approximation of the volatili...
On the role played by the fixed bandwidth in the Bickel-Rosenblatt goodness-of-fit test
goodness-of-fit test kernel density estimator Bahadur efficiency
2009/2/23
For the Bickel-Rosenblatt goodness-of-fit test with fixed bandwidth studied by Fan (1998) we derive its Bahadur exact slopes in a neighbourhood of a simple hypothesis f =f0 and we use them to get a be...
Goodness of fit test for ergodic diffusion processes
consistent test empirical process asymptotically distributionfree tests
2010/4/26
A goodness of fit test for the drift coefficient of an ergodic diffusion
process is presented. The test is based on the score marked empirical
process. The weak convergence of the proposed test stat...