| Autor: |
Jaser Miriam, Haug Stephan, Min Aleksey |
| Jazyk: |
angličtina |
| Rok vydání: |
2017 |
| Předmět: |
|
| Zdroj: |
Dependence Modeling, Vol 5, Iss 1, Pp 330-353 (2017) |
| Druh dokumentu: |
article |
| ISSN: |
2300-2298 |
| DOI: |
10.1515/demo-2017-0020 |
| Popis: |
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. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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