Copula goodness-of-fit testing: an overview and power comparison
Year of publication: |
2009
|
---|---|
Authors: | Berg, Daniel |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 15.2009, 7-8, p. 675-701
|
Publisher: |
Taylor & Francis Journals |
Subject: | copula | cramer-von Mises statistic | empirical copula | goodness-of-fit | parametric bootstrap | pseudo-samples | Rosenblatt's transformation |
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