A goodness-of-fit test for copulas based on the collision test

DOI10.1007/s00362-021-01277-6OpenAlexW4205132453MaRDI QIDQ2093120

Yiran Chen, Giray Ökten

Publication date: 4 November 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-021-01277-6

zbMATH Keywords

copulasgoodness-of-fit testslow-discrepancy sequencesVoronoi diagramscollision test

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• MersenneTwister
• Ziggurat
• rnorrexp

Cites Work

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• Quasi-random numbers for copula models
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Monte carlo estimates of the distributions of the random polygons of the voronoi tessellation with respect to a poisson process
• Mersenne twister
• Dependence structures for multivariate high-frequency data in finance
• Testing the Gaussian copula hypothesis for financial assets dependences
• Quasi-Random Sampling Importance Resampling
• Random Subdivisions of Space into Crystals

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