Abstract
In the paper we introduce a measure for goodness of approximation based on the Cramér von Mises-statistic. In place of the unknown parameter of interest, a minimum-distance estimator of the parameter is plugged in. We prove asymptotic normality of this statistic and establish a test on goodness-of-approximation.
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Liebscher, E. (2015). Goodness-of-Approximation of Copulas by a Parametric Family. In: Steland, A., Rafajłowicz, E., Szajowski, K. (eds) Stochastic Models, Statistics and Their Applications. Springer Proceedings in Mathematics & Statistics, vol 122. Springer, Cham. https://doi.org/10.1007/978-3-319-13881-7_12
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DOI: https://doi.org/10.1007/978-3-319-13881-7_12
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