In this thesis, we suggest a goodness-ofit test for semi-parametric copula models. We extended the pseudo in-and-out-sample (PIOS) test proposed in [17], which is based on the PIOS test in [28]. The PIOS test is constructed by comparing the pseudo "in-sample" likelihood and pseudo "out-of-sample" likelihood. Our contribution is twoold. First, we use the approximate test statistics instead of the exact test statistics to alleviate the computational burden of calculating the test statistics. Secondly, we propose a parametric bootstrap procedure to approximate the distribution of the test statistic. Unlike the nonparametric bootstrap which resamples from the original data, the parametric procedure resamples the data from the copula model under the null hypothesis. We conduct simulation studies to investigate the performance of the approximate test statistic and parametric bootstrap. The results show that the parametric bootstrap presents higher test power with a well-controlled type I error compared to the nonparametric bootstrap.
| Identifer | oai:union.ndltd.org:MSSTATE/oai:scholarsjunction.msstate.edu:td-1151 |
| Date | 07 August 2020 |
| Creators | Shin, Jimin |
| Publisher | Scholars Junction |
| Source Sets | Mississippi State University |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | Theses and Dissertations |
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