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A simple non-parametric goodness-of-fit test for elliptical copulas

100%

Jaser M., Haug S., Min A.

Dependence Modeling

2017

tom 5

nr 1

330-353

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.

Tail orderings and the total time on test transform

88%

Bartoszewicz J.

Applicationes Mathematicae

1996-1997

tom 24

nr 1

77-86

The paper presents some connections between two tail orderings of distributions and the total time on test transform. The procedure for testing the pure-tail ordering is proposed.

Ograniczanie wyników

1 Applicationes Mathematicae

1 Dependence Modeling

1 Bartoszewicz J.

1 Haug S.

1 Jaser M.

1 Min A.

1 2017

1 1996

Wyniki wyszukiwania

A simple non-parametric goodness-of-fit test for elliptical copulas

Tail orderings and the total time on test transform