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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Jaser, M., Haug, S., and Min, A. 
Titel:
A simple non-parametric goodness-of-fit test for elliptical copulas 
Abstract:
In this paper, we propose a simple non-parametric goodness-of-fit test for elliptical copulas of any dimension. It is based on the equality of Kendall's tau and Blomqvist's beta for all bivariate margins. Nominal level and power of the proposed test are investigated in a Monte Carlo study. An empirical application illustrates our goodness-of-fit test at work. 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Dependence Modeling 
Jahr:
2017 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
330-353 
Nachgewiesen in:
Scopus 
Reviewed:
ja 
Verlag / Institution:
DE GRUYTER 
Status:
Postprint / reviewed 
TUM Einrichtung:
Department of Mathematics