User profiles for Bruno Rémillard
Bruno N. RemillardProfessor, 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 …
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 …
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 …
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 …
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 …
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 …
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 …
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
… 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 …
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 …
number of asymptotically mutually independent sub-processes whose joint limiting …
On Kendall's process
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 …
functionH, and letV i, n stand for the proportion of observationsZ j ,j≠i, such thatZ j ⩽Z i …