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Goodness-of-Fit Test for Extreme-Value Distribution

โœ Scribed by Tsujitani, Masaaki; Ohta, Hiroshi; Kase, Shigeo


Book ID
117934161
Publisher
IEEE
Year
1980
Tongue
English
Weight
480 KB
Volume
R-29
Category
Article
ISSN
0018-9529

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๐Ÿ“œ SIMILAR VOLUMES


Extreme-Value Moment Goodness-of-Fit Tes
โœ Theodore P. Hill; Victor Perez-Abreu ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Springer Japan ๐ŸŒ English โš– 584 KB
Goodness-of-fit test for copulas
โœ Valentyn Panchenko ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 195 KB

Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on positive definite bilinear forms. The suggested test avoids