A goodness of fit test for copulas based on Rosenblatt's transformation

Computational Statistics and Data Analysis

Volumn 51, Issue 9, 2007, Pages 4633-4642

  Dobrić, Jadran ^a   Schmid, Friedrich ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Copulas; Goodness of fit test; Parametric bootstrap; Rosenblatt transformation

Indexed keywords

COMPUTER SIMULATION; DEGREES OF FREEDOM (MECHANICS); DISTRIBUTION FUNCTIONS; MATHEMATICAL TRANSFORMATIONS; STATISTICAL METHODS;

GAUSSIAN COPULA; PARAMETRIC BOOTSTRAP; ROSENBLATT TRANSFORMATION;

DATA REDUCTION;

EID: 34147134549     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.08.012     Document Type: Article

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