Goodness-of-fit test for copulas

Physica A: Statistical Mechanics and its Applications

Volumn 355, Issue 1, 2005, Pages 176-182

  Panchenko, Valentyn ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Bootstrap; Copula; Correlation; Goodness of fit; Multivariate time series; Nonparametric statistics; V statistics

Indexed keywords

ASYMPTOTIC STABILITY; COMPUTATIONAL METHODS; CORRELATION METHODS; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS; PROBABILITY DENSITY FUNCTION; RISK MANAGEMENT; SAMPLING; THEOREM PROVING; TIME SERIES ANALYSIS;

BOOTSTRAP; COPULAS; CORRELATION; GOODNESS-OF-FIT; MULTIVARIATE TIME SERIES; NONPARAMETRIC STATISTICS; V-STATISTICS;

STATISTICAL TESTS;

EID: 21444431713     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.02.081     Document Type: Conference Paper

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