A goodness-of-fit test for exchangeable Archimedean copulas is presented. In a large-scale simulation study it is shown that the test performs well according to the error probability of the first kind and the power under several alternatives, especially in large dimensions. The proposed test is compared to other known tests for Archimedean copulas. In contrast to the latter, the former is simpl...

of the variation in the data, and we would disagree that the straight line is “obviously bad” or “not a good description of the data.” We do not advocate elimination of the term “test for the significance of the regression,” but we would like to see the term “goodness of fit” associated with F = MSifMS and dissociated from F = MS101/MSpe. The larger the value of F = MSiact / MS, the greater is ...

In this article we improve a goodness-of-fit test, of the Kolmogorov-Smirnov type, for equally distributed- but not stationary-strongly dependent data. The test is based on asymptotic behavior empirical process, which much more complex than in classical case. Applications to simulated data and discussion obtained results are provided. This is, best our knowledge, first result providing general ...