Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Year of publication: |
2014
|
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Authors: | Weiß, Gregor |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 16.2013/2014, 4, p. 61-101
|
Subject: | Copulas | Monte Carlo simulation | Tail dependence | Original research | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Monte-Carlo-Simulation | Simulation | Statistischer Test | Statistical test | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis |
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