A Goodness-of-fit Test for Copulae Based on the Probability Integral Transform

Berg, Daniel; Bakken, Henrik

December 13, 2005

SAMBA

• Filename:
• Areas: Finance, insurance and the electricity market
• Keywords: Copulae, Goodness-of-fit, Probability Integral Transform
• Page(s): 23
• Name and number of project: Statistical Analysis of Risk (StAR)
• Title: A Goodness-of-fit Test for Copulae Based on the Probability Integral Transform
• Author(s): Berg, Daniel; Bakken, Henrik
• Report number: SAMBA/41/05
• Published date: December 13, 2005