Goodness-of-fit Tests for Archimedean Copulas in High Dimensions

Author:

Hering Christian,Hofert Marius

Publisher

Springer International Publishing

Reference29 articles.

1. Anderson, T.W., Darling, D.A.: Asymptotic theory of certain goodness-of-fit criteria based on stochastic processes. Ann. Math. Stat. 23(2), 193–212 (1952)

2. Anderson, T.W., Darling, D.A.: A test of goodness of fit. J. Am. Stat. Assoc. 49, 765–769 (1954)

3. Barbe, P., Genest, C., Ghoudi, K., Rémillard, B.: On Kendall’s process. J. Multivar. Anal. 58, 197–229 (1996)

4. Berg, D.: Copula goodness-of-fit testing: an overview and power comparison. Eur. J. Financ. 15(7—-8), 675–701 (2009). http://www.informaworld.com/10.1080/13518470802697428

5. Berg, D., Bakken, H.: A copula goodness-of-fit approach based on the conditional probability integral transformation (2007). http://www.danielberg.no/publications/Btest.pdf

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