A simple non-parametric goodness-of-fit test for elliptical copulas

A simple non-parametric goodness-of-fit test for elliptical copulas AbstractIn 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

A simple non-parametric goodness-of-fit test for elliptical copulas

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Publisher
de Gruyter
Copyright
© 2018
ISSN
2300-2298
eISSN
2300-2298
D.O.I.
10.1515/demo-2017-0020
Publisher site
See Article on Publisher Site

Abstract

AbstractIn 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.

Journal

Dependence Modelingde Gruyter

Published: Dec 20, 2017

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