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Published in 2019 at "Econometric Reviews"
DOI: 10.1080/07474938.2018.1514023
Abstract: Abstract We propose a family of goodness-of-fit tests for copulas. The tests use generalizations of the information matrix (IM) equality of White and so relate to the copula test proposed by Huang and Prokhorov. The…
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Keywords:
generalized information;
tests copulas;
information matrix;
matrix tests ... See more keywords