Archimedean Copulas and Goodness of Fit Test

Authors: Kazemi Rad A. M., Golshani L., Najjari V.

Abstract: The main endeavor of this paper is to compare the result of parameter estimation for Archimedean copulas by using Kendal coefficient and Goodness of fit test. It is seen that on modeling dependency structure of data by the GOF method, at the same time, we are able to estimate parameters and also test the compatibility of copulas to data.

Pages: 63-66

DOI: 10.46300/9102.2022.16.10

International Journal of Mathematics and Computers in Simulation, E-ISSN: 1998-0159, Volume 16, 2022, Art. #10