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.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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A simple non-parametric goodness-of-fit test for elliptical copulas ; volume:5 ; number:1 ; year:2017 ; pages:330-353 ; extent:24
Dependence modeling ; 5, Heft 1 (2017), 330-353 (gesamt 24)
- Creator
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Jaser, Miriam
Haug, Stephan
Min, Aleksey
- DOI
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10.1515/demo-2017-0020
- URN
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urn:nbn:de:101:1-2411181554440.988183357265
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:24 AM CEST
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Associated
- Jaser, Miriam
- Haug, Stephan
- Min, Aleksey
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