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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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