Goodness-of-fit tests for copulas: A review and a power study
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2009/04/01
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Indian UGC (journal)
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Refrences55
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Citations712
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Christian Genest
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Bruno Rémillard
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David Beaudoin
Cite
Genest, Christian, et al. “Goodness-of-Fit Tests for Copulas: A Review and a Power Study”. Insurance: Mathematics and Economics, vol. 44, no. 2, 2009, pp. 199-13, https://doi.org/10.1016/j.insmatheco.2007.10.005.
Genest, C., Rémillard, B., & Beaudoin, D. (2009). Goodness-of-fit tests for copulas: A review and a power study. Insurance: Mathematics and Economics, 44(2), 199-213. https://doi.org/10.1016/j.insmatheco.2007.10.005
Genest, Christian, Bruno Rémillard, and David Beaudoin. “Goodness-of-Fit Tests for Copulas: A Review and a Power Study”. Insurance: Mathematics and Economics 44, no. 2 (2009): 199-213. https://doi.org/10.1016/j.insmatheco.2007.10.005.
1.
Genest C, Rémillard B, Beaudoin D. Goodness-of-fit tests for copulas: A review and a power study. Insurance: Mathematics and Economics. 2009;44(2):199-213.
Journal Categories
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Mathematics
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Mathematical statistics
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Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters | Journal of Multivariate Analysis |
| 47 | 2007 |
| A goodness of fit test for copulas based on Rosenblatt's transformation | Computational Statistics & Data Analysis |
| 82 | 2007 |
| Everything you always wanted to know about copula modeling but were afraid to ask | 2007 | |||
| Efficient Estimation of Semiparametric Multivariate Copula Models | Journal of the American Statistical Association |
| 129 | 2006 |
Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation | Scandinavian Journal of Statistics |
| 269 | 2006 |
Refrences Analysis
The category
Science: Mathematics 23
is the most frequently represented among the references in this article. It primarily includes studies from Journal of Multivariate Analysis and Biometrika. The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
Fitting copulas in the case of missing data | Statistical Papers |
| 2024 | |
| A copula-based model to describe the uncertainty of overtopping variables on mound breakwaters | Coastal Engineering |
| 2024 | |
| Copula-based cloud analysis for seismic fragility and its application to nuclear power plant structures | Engineering Structures |
| 2024 | |
| Marginals versus copulas: Which account for more model risk in multivariate risk forecasting? | Journal of Banking & Finance |
| 2024 | |
| The weighted characteristic function of the multivariate PIT: Independence and goodness-of-fit tests | Journal of Multivariate Analysis |
| 1 | 2024 |
Citations Analysis
The category
Technology: Environmental technology. Sanitary engineering 198
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Replicating the Properties of Hedge Fund Returns and was published in 2007. The most recent citation comes from a 2024 study titled A Meteorological Drought Migration Model for Assessing the Spatiotemporal Paths of Drought in the Choushui River Alluvial Fan, Taiwan. This article reached its peak citation in 2019, with 70 citations. It has been cited in 295 different journals, 14% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 42 citations. The chart below illustrates the annual citation trends for this article.