Title of article :
Goodness-of-fit tests for copulas
Author/Authors :
Fermanian، نويسنده , , Jean-David، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2005
Abstract :
This paper defines two distribution free goodness-of-fit test statistics for copulas. It states their asymptotic distributions under some composite parametric assumptions in an independent identically distributed framework. A short simulation study is provided to assess their power performances.
Keywords :
Basket derivatives , KERNEL , Copulas , GOF tests
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis