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Econometric Reviews Volume 33, 2014 - Issue 7
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Original Articles

A Goodness-of-fit Test for Copulas

Wanling Huang Department of Economics & Finance, University of Texas-Pan American, Edinburg, Texas, USA
&
Artem Prokhorov Department of Economics, Concordia University and CIREQ, Montreal, Quebec, CanadaFaculty of Economics, St. Petersburg State University, St. Petersburg, RussiaCorrespondence[email protected]
Pages 751-771 | Published online: 06 Feb 2014

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Fakhereh Alidoost, Alfred Stein, Zhongbo Su & Ali Sharifi. (2021) Multivariate copula quantile mapping for bias correction of reanalysis air temperature data. Journal of Spatial Science 66:2, pages 299-315.
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Artem Prokhorov, Ulf Schepsmeier & Yajing Zhu. (2019) Generalized information matrix tests for copulas. Econometric Reviews 38:9, pages 1024-1054.
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Ruben de Nie, Georgios Leontaris, Don Hoogendoorn & A. R. M. (Rogier) Wolfert. (2019) Offshore infrastructure planning using a vine copula approach for environmental conditions: an application for replacement maintenance of tidal energy infrastructure. Structure and Infrastructure Engineering 15:5, pages 600-617.
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Ulf Schepsmeier. (2019) A goodness-of-fit test for regular vine copula models. Econometric Reviews 38:1, pages 25-46.
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Paulo H. Ferreira & Francisco Louzada. (2019) Maximum likelihood estimation for bivariate SUR Tobit modeling in presence of two right-censored dependent variables. Communications in Statistics - Simulation and Computation 48:1, pages 150-168.
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Pavel Krupskii & Harry Joe. (2015) Tail-weighted measures of dependence. Journal of Applied Statistics 42:3, pages 614-629.
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Shaoqian Huang, Qi Zhou, Lianchao Gu, Hongqing Wang & Guangming Zhang. (2020) Modeling and simulation study of the stoichiometric niche space and niche overlap based on the copula method. Environmental and Ecological Statistics 27:1, pages 115-149.
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Fakhereh Alidoost, Alfred Stein & Zhongbo Su. (2019) The use of bivariate copulas for bias correction of reanalysis air temperature data. PLOS ONE 14:5, pages e0216059.
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Erik Vanem. (2016) Joint statistical models for significant wave height and wave period in a changing climate. Marine Structures 49, pages 180-205.
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Wei Ding & Peter X.-K. Song. (2016) EM algorithm in Gaussian copula with missing data. Computational Statistics & Data Analysis 101, pages 1-11.
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Wanling Huang, André Varella Mollick & Khoa Huu Nguyen. (2016) U.S. stock markets and the role of real interest rates. The Quarterly Review of Economics and Finance 59, pages 231-242.
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Boris Darkhovsky, Alexandra Piryatinska, Artem Prokhorov & Fujie Xia. (2015) The ε-complexity of copulas. The ε-complexity of copulas.
Ulf Schepsmeier. (2015) Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review. Journal of Multivariate Analysis 138, pages 34-52.
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Ostap Okhrin, Simon Trimborn & Martin Waltz. (2020) gofCopula: Goodness-of-Fit Tests for Copulae. SSRN Electronic Journal.
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Song LI & Param Silvapulle. (2015) Kernel Estimation of Copula Densities and Applications. SSRN Electronic Journal.
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