A goodness-of-fit test for bivariate extreme-value copulas
نویسندگان
چکیده
منابع مشابه
Goodness-of-fit test for copulas
Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on positive definite bilinear forms. The suggested test avoids the use of plug-in estimators that is the common practice in the literature. The test statistics ...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2011
ISSN: 1350-7265
DOI: 10.3150/10-bej279