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- Title:
A simple non-parametric goodness-of-fit test for elliptical copulas
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- 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 Decimal Classification:
- 510 Mathematik
- Journal title:
- Dependence Modeling
- Year:
- 2017
- Journal volume:
- 5
- Journal issue:
- 1
- Pages contribution:
- 330-353
- Covered by:
- Scopus
- Reviewed:
- ja
- Fulltext / DOI:
- doi:10.1515/demo-2017-0020
- WWW:
- Dependence Modeling
- Publisher:
- DE GRUYTER
- Status:
- Postprint / reviewed
- TUM Institution:
- Department of Mathematics
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