Open AccessArchimedean Copulas and Goodness of Fit Test
Author(s) -
Kazemi Rad A. M.,
Leila Golshani,
Vadoud Najjari
Publication year - 2022
Publication title -
international journal of mathematics and computers in simulation
Language(s) - English
Resource type - Journals
ISSN - 1998-0159
DOI - 10.46300/9102.2022.16.10
Subject(s) - goodness of fit , copula (linguistics) , mathematics , statistics , econometrics , compatibility (geochemistry) , engineering , chemical engineering
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.