A simple non-parametric goodness-of-fit test for elliptical 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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Two goodness-of-fit tests for copulas are being investigated. The first one deals with the case of elliptical copulas and the second one deals with independent copulas. These tests result from the expansion of the projection pursuit methodology that we will introduce in the present article. This method enables us to determine on which axis system these copulas lie as well as the exact value of ...
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ژورنال
عنوان ژورنال: Dependence Modeling
سال: 2017
ISSN: 2300-2298
DOI: 10.1515/demo-2017-0020