User profiles for Bruno Rémillard

Bruno N. Remillard

Professor, HEC Montreal
Verified email at hec.ca
Cited by 5952

Goodness-of-fit tests for copulas: A review and a power study

C Genest, B Rémillard, D Beaudoin - Insurance: Mathematics and …, 2009 - Elsevier
Many proposals have been made recently for goodness-of-fit testing of copula models. After
reviewing them briefly, the authors concentrate on “blanket tests”, ie, those whose …

[HTML][HTML] Goodness-of-fit tests for copulas of multivariate time series

B Rémillard - Econometrics, 2017 - mdpi.com
In this paper, we study the asymptotic behavior of the sequential empirical process and the
sequential empirical copula process, both constructed from residuals of multivariate …

Goodness‐of‐fit procedures for copula models based on the probability integral transformation

…, JF Quessy, B Rémillard - Scandinavian Journal of …, 2006 - Wiley Online Library
Wang & Wells [J. Amer. Statist. Assoc. 95 (2000) 62] describe a non‐parametric approach for
checking whether the dependence structure of a random sample of censored bivariate data …

[BOOK][B] Dynamic copulas

B Rémillard, N Papageorgiou, F Soustra - 2010 - crm.umontreal.ca
In this talk, we introduce another notion of dynamic copulas to model serial dependence as
well as interdependence between several time series. The proposed methodology is totally …

Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

C Genest, B Rémillard - Annales de l'IHP Probabilités et statistiques, 2008 - numdam.org
Pour tester qu’une loi P donnée provient d’une famille paramétrique P, on est souvent amené
à comparer une estimation non paramétrique An d’une fonctionnelle A de P à un élément …

[HTML][HTML] Testing for equality between two copulas

B Rémillard, O Scaillet - Journal of Multivariate Analysis, 2009 - Elsevier
We develop a test of equality between two dependence structures estimated through empirical
copulas. We provide inference for independent or paired samples. The multiplier central …

[BOOK][B] Statistical methods for financial engineering

B Remillard - 2013 - books.google.com
While many financial engineering books are available, the statistical aspects behind the
implementation of stochastic models used in the field are often overlooked or restricted to a few …

Asymptotic local efficiency of Cramér–von Mises tests for multivariate independence

C Genest, JF Quessy, B Rémillard - 2007 - projecteuclid.org
… This paper enhances the work of Genest and Rémillard [13] by comparing the power of
Cramér–von Mises tests of independence based on the copula process Cn and of those based …

Test of independence and randomness based on the empirical copula process

C Genest, B Rémillard - Test, 2004 - Springer
Deheuvels (1981a) described a decomposition of the empirical copula process into a finite
number of asymptotically mutually independent sub-processes whose joint limiting …

On Kendall's process

P Barbe, C Genest, K Ghoudi, B Rémillard - Journal of multivariate analysis, 1996 - Elsevier
LetZ 1 , …, Z n be a random sample of sizen⩾2 from ad-variate continuous distribution
functionH, and letV i, n stand for the proportion of observationsZ j ,j≠i, such thatZ j ⩽Z i …