A goodness-of-fit test for bivariate extreme-value copulas

Bernoulli

Volumn 17, Issue 1, 2011, Pages 253-275

  Genest, Christian ^a   Kojadinovic, Ivan ^b   Nešlehová, Johanna ^c   Yan, Jun ^d  

^a UNIVERSITÉ LAVAL   (Canada)

^b UNIVERSITÉ DE PAU ET DES PAYS DE L'ADOUR   (France)

^c MCGILL UNIVERSITY   (Canada)

^d UNIVERSITY OF CONNECTICUT   (United States)

Author keywords

Extreme value copula; Goodness of fit; Parametric bootstrap; Pickands dependence function; Rank based inference

Indexed keywords

EID: 79951692647     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/10-BEJ279     Document Type: Article

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