Goodness-of-fit tests for copulas: A review and a power study

Insurance: Mathematics and Economics

Volumn 44, Issue 2, 2009, Pages 199-213

  Genest, Christian ^a   Rémillard, Bruno ^b   Beaudoin, David ^a  

^a UNIVERSITÉ LAVAL   (Canada)

^b HEC MONTRÉAL   (Canada)

Author keywords

Anderson Darling statistic; Copula; Cram r von Mises statistic; Gaussian process; Goodness of fit; Kendall's tau; Kolmogorov Smirnov statistic; Monte Carlo simulation; P values; Parametric bootstrap; Power study; Pseudo observations

Indexed keywords

EID: 63449084564     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2007.10.005     Document Type: Article

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