Generalized information matrix tests for copulas
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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… read more here.
Keywords: generalized information; tests copulas; information matrix; matrix tests ... See more keywords