Local power analyses of goodness-of-fit tests for copulas

Scandinavian Journal of Statistics

Volumn 36, Issue 3, 2009, Pages 389-412

  Berg, Daniel ^a   Quessy, Jean François ^b  

^a UNIVERSITY OF OSLO   (Norway)

^b UNIVERSITÉ DU QUÉBEC À TROIS RIVIÈRES   (Canada)

Author keywords

Contiguous alternatives; Copula; Cram r von Mises statistic; Empirical copula process; Goodness of fit test; Local power curves; Rank based estimators

Indexed keywords

EID: 68949114151     PISSN: 03036898     EISSN: 14679469     Source Type: Journal    
DOI: 10.1111/j.1467-9469.2009.00643.x     Document Type: Article

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