A goodness-of-fit test for copulas based on the collision test
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s00362-021-01277-6.pdf
Reference26 articles.
1. Berg D (2009) Copula goodness-of-fit testing: an overview and power comparison. Eur J Financ 15(7–8):675–701
2. Berg D, Bakken H (2007) A copula goodness-of-fit approach based on the conditional probability integral transformation, Working paper, University of Oslo and Norwegian Computing Center (2007)
3. Breymann W, Dias A, Embrechts P (2003) Dependence structures for multivariate high-frequency data in finance. Quant Financ 1:1–14
4. Cambou M, Hofert M, Lemieux C (2017) Quasi-random numbers for copula models. Stat Comput 27(5):1307–1329
5. Ferraro M, Zaninetti L (2015) On non-Poissonian Voronoi tessellations. Appl Phys Res 7(6)
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