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Goodness-of-fit tests for parametric families of Archimedean copulas

Savu, Cornelia; Trede, Mark - 2004

This paper suggests a goodness-of-fit test for parametric families of Archimedean copulas for high dimensional distributions. The test statistic is based on the classical chi-square-statistic but has a nonstandard asymptotic distribution. Monte-Carlo simulations show that the test keeps the...