Copula函数的加权平均距离检验方法

The Test of Copula Function Based on the Weighted Average Distance

针对无法从定性的角度选择最优Copula函数,本文从定量的角度给出Copula函数的一种加权平均距离检验方法,并给出该检验方法的拒绝域与检验p值,最后证明了此检验方法具有相合性,并给出检验统计量的渐近分布,从而说明此方法可以用于最优Copula函数的选择。

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.