Ontology type: schema:Chapter Open Access: True
2013-04-26
AUTHORS ABSTRACTWe review the main “omnibus procedures” for goodness-of-fit (GOF) testing for copulas: tests based on the empirical copula process, on probability integral transformations (PITs), on Kendall’s dependence function, etc., and some corresponding reductions of dimension techniques. The problems of finding asymptotic distribution-free test statistics and the calculation of reliable p-values are discussed. Some particular cases, like convenient tests for time-dependent copulas, for Archimedean or extreme-value copulas, etc., are dealt with. Finally, the practical performances of the proposed approaches are briefly summarized. More... »
PAGES61-89
Copulae in Mathematical and Quantitative Finance
ISBN
978-3-642-35406-9
978-3-642-35407-6
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