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

Miriam Jaser, Stephan Haug, and Aleksey Min. "A simple non-parametric goodness-of-fit test for elliptical copulas." Dependence Modeling 5.1 (2017): 330-353. <http://eudml.org/doc/288476>.

@article{MiriamJaser2017,
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.},
author = {Miriam Jaser, Stephan Haug, Aleksey Min},
journal = {Dependence Modeling},
keywords = {Blomqvist’s beta; elliptical copulas; goodness-of-fit test; Kendall’s tau},
language = {eng},
number = {1},
pages = {330-353},
title = {A simple non-parametric goodness-of-fit test for elliptical copulas},
url = {http://eudml.org/doc/288476},
volume = {5},
year = {2017},
}

TY - JOUR
AU - Miriam Jaser
AU - Stephan Haug
AU - Aleksey Min
TI - A simple non-parametric goodness-of-fit test for elliptical copulas
JO - Dependence Modeling
PY - 2017
VL - 5
IS - 1
SP - 330
EP - 353
AB - 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.
LA - eng
KW - Blomqvist’s beta; elliptical copulas; goodness-of-fit test; Kendall’s tau
UR - http://eudml.org/doc/288476
ER -