A goodness-of-fit test for copulas based on martingale transformation
Year of publication: |
2020
|
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Authors: | Lu, Xiaohui ; Zheng, Xu |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 215.2020, 1, p. 84-117
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Subject: | Copula | Distribution-free test | Goodness-of-fit test | Martingale transformation | Multivariate Verteilung | Multivariate distribution | Martingal | Martingale | Statistischer Test | Statistical test | Theorie | Theory |
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