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- Titel:
A simple non-parametric goodness-of-fit test for elliptical copulas
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Jaser, M., Haug, S., and Min, A.
- 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:
- 5
- Heft / Issue:
- 1
- Seitenangaben Beitrag:
- 330-353
- Nachgewiesen in:
- Scopus
- Reviewed:
- ja
- Volltext / DOI:
- doi:10.1515/demo-2017-0020
- WWW:
- Dependence Modeling
- Verlag / Institution:
- DE GRUYTER
- Status:
- Postprint / reviewed
- TUM Einrichtung:
- Department of Mathematics
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