Smooth Tests of Copula Specifications
提出一族半参数多元连接函数模型的拟合优度平滑检验，该检验分布自由、易于实施，且在被拒绝时能提供替代连接函数的线索，并进一步推广到动态模型。
We present a family of smooth tests for the goodness of fit of semiparametric multivariate copula models. The proposed tests are distribution free and can be easily implemented. They are diagnostic and constructive in the sense that when a null distribution is rejected, the test provides useful pointers to alternative copula distributions. We then propose a method of copula density construction, which can be viewed as a multivariate extension of Efron and Tibshirani. We further generalize our methods to the semiparametric copula-based multivariate dynamic models. We report extensive Monte Carlo simulations and three empirical examples to illustrate the effectiveness and usefulness of our method.