A goodness of fit test for copulas based on Rosenblatt's transformation-Reference-Cited by-同舟云学术

A goodness of fit test for copulas based on Rosenblatt's transformation

Published:2007-05 Issue:9 Volume:51 Page:4633-4642
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Dobrić Jadran,Schmid Friedrich

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference29 articles.

1. Asymptotic theory of certain goodness of fit criteria based on stochastic processes;Anderson;Ann. Math. Statist.,1952

2. A test of goodness of fit;Anderson;J. Amer. Statist. Assoc.,1954

3. Berg, D., Bakken, H., 2005. A goodness-of-fit test for copulae based on the probability integral transformation 〈www.nr.no/pages/samba/area_bff_publications〉.

4. Dependence structures for multivariate high-frequency data in finance;Breymann;Quantitative Finance,2003

5. Copula Methods in Finance;Cherubini,2004

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