In this paper, we propose a simple non-parametric goodness-of-fit test for elliptical copulas of any dimension. It is based on the equality of Kendall’s tau and Blomqvist’s beta for all bivariate margins. Nominal level and power of the proposed test are investigated in a Monte Carlo study. An empirical application illustrates our goodness-of-fit test at work.
@article{bwmeta1.element.doi-10_1515_demo-2017-0020,
author = {Miriam Jaser and Stephan Haug and Aleksey Min},
title = {A simple non-parametric goodness-of-fit test for elliptical copulas},
journal = {Dependence Modeling},
volume = {5},
year = {2017},
pages = {330-353},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0020}
}
Miriam Jaser; Stephan Haug; Aleksey Min. A simple non-parametric goodness-of-fit test for elliptical copulas. Dependence Modeling, Tome 5 (2017) pp. 330-353. http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2017-0020/