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A simple non-parametric goodness-of-fit test for elliptical copulas

Author

Listed:
  • Jaser Miriam

    (Chair of Mathematical Finance, Technical University of Munich, Parkring 11-13, 85748 Garching, Germany)

  • Haug Stephan

    (Chair of Mathematical Statistics, Technical University of Munich, Parkring 11-13, 85748 Garching, Germany)

  • Min Aleksey

    (Chair of Mathematical Finance, Technical University of Munich, Parkring 11-13, 85748 Garching, Germany)

Abstract

In this paper, we propose a simple non-parametric goodness-of-fit test for elliptical copulas of any dimension. It is based on the equality of Kendall’s tau and Blomqvist’s beta for all bivariate margins. Nominal level and power of the proposed test are investigated in a Monte Carlo study. An empirical application illustrates our goodness-of-fit test at work.

Suggested Citation

  • Jaser Miriam & Haug Stephan & Min Aleksey, 2017. "A simple non-parametric goodness-of-fit test for elliptical copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 330-353, December.
    • Handle: RePEc:vrs:demode:v:5:y:2017:i:1:p:330-353:n:20
    DOI: 10.1515/demo-2017-0020
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    References listed on IDEAS

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