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

DOI10.1016/j.insmatheco.2007.10.005zbMath1161.91416OpenAlexW2015339214MaRDI QIDQ127473

David Beaudoin, Bruno Rémillard, Christian Genest, Bruno Rémillard, Christian Genest, David Beaudoin

Publication date: April 2009

Published in: Insurance: Mathematics and Economics, Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.10.005

zbMATH Keywords

copula Gaussian process Monte Carlo simulation Kendall's tau goodness-of-fit Cramér-von Mises statistic pseudo-observations parametric bootstrap Kolmogorov-Smirnov statistic power study \(P\)-values Anderson-Darling statistic

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

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