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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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