Archimedean Copulas and Goodness of Fit Test
Author:
Affiliation:
1. Department of statistics, Faculty of Science, Islamic Azad University, Central Tehran Branch, Iran
2. Department of mathematics, Islamic Azad university, Maragheh branch, Maragheh, Iran
Abstract
Publisher
North Atlantic University Union (NAUN)
Subject
Applied Mathematics,Computational Theory and Mathematics,Modeling and Simulation
Reference22 articles.
1. X. Chen., Y. Fan., Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection, La Revue Canadienne de Statistique. 33 (3)(2005) 389–414.
2. S. C¸ elebioˇglu., Archimedean copulas And An Application, Selcuk University Journal of Science, 22 (2003) 43–52.
3. J. Dobric., F. Schmidt., Testing goodness of fit for parametric families of copulas application to financial data. Seminar of economic and social statistics, University of Cologne. 2004.
4. V. Durrleman., A. Nikeghbali., T. Roncalli., Which copula is the right one? Working document, Groupe de Recherche Op´erationnelle, Cr´edit Lyonnais, 2000.
5. C. Genest., K. Ghoudi., L.P. Rivest., A semiparametric estimation procedure of dependence parameters in multivariate families of distributions, Biometrika, 82 (1995) 543–552.
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