Goodness-of-fit test for tail copulas modeled by elliptical copulas
Modeling and estimating a tail copula play an important role in forecasting rare events. Due to their easy simulation, elliptical copulas have been employed in risk management. Recently, Klppelberg, [Klppelber, C., Kuhn, G., Peng, L., 2007. Estimating the tail dependence function of an elliptical distribution. Bernoulli 13 (1), 229-251; Klppelberg, C., Kuhn, G., Peng, L., 2008. Semi-parametric models for the multivariate tail dependence function--the asymptotically dependent case. Scandinavian Journal of Statistics 35, 701-718] proposed to model a tail copula by an elliptical copula, which results in an explicit parametric model for the tail copula. In this paper, we propose a goodness-of-fit test for such a parametric model and some real data analyses show that this fitting cannot be rejected. Therefore we demonstrate the practical applicability of this model.
Year of publication: |
2009
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Authors: | Li, Deyuan ; Peng, Liang |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 8, p. 1097-1104
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Publisher: |
Elsevier |
Saved in:
Online Resource
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