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Document type:
Zeitschriftenaufsatz 
Author(s):
Jaser, M., Haug, S., and Min, A. 
Title:
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 Decimal Classification:
510 Mathematik 
Journal title:
Dependence Modeling 
Year:
2017 
Journal volume:
Journal issue:
Pages contribution:
330-353 
Covered by:
Scopus 
Reviewed:
ja 
Fulltext / DOI:
Publisher:
DE GRUYTER 
Status:
Postprint / reviewed 
TUM Institution:
Department of Mathematics