The Test of Copula Function Based on the Weighted Average Distance
Xiuping Chen, Du Jiang · 2011
In this paper,based on the weighted average distance,the test of Copula function is proposed from the quantitative point of view,the refused domain and p-value of this test are put forward.At last, the asymptotic property of the proposed test statistic is given,we also proved that the resulting method is the consistency test and showed that this method can be used to select the optimal Copula function.