A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems

DOI10.1007/s11222-009-9142-yzbMath1274.62400MaRDI QIDQ692943

Jun Yan, Ivan Kojadinovic

Publication date: 6 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-009-9142-y

zbMATH Keywords

rank; pseudo-likelihood; normal copula; \(t\)-copula; Plackett formula; pseudo-observation

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

62H20: Measures of association (correlation, canonical correlation, etc.)

Uses Software

• R
• mvtnorm
• copula
• TwoCop
• copula
• QSIMVN