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Persistent link: https://www.econbiz.de/10002688693
This paper suggests a goodness-of-fit test for parametric families of Archimedean copulas for high dimensional distributions. The test statistic is based on the classical chi-square-statistic but has a nonstandard asymptotic distribution. Monte-Carlo simulations show that the test keeps the...
Persistent link: https://www.econbiz.de/10009349860
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Persistent link: https://www.econbiz.de/10014329798