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math.ST2011
Goodness-of-fit Tests For Elliptical And Independent Copulas Through Projection Pursuit
Jacques Touboul
Two goodness-of-fit tests for copulas are being investigated. The first one deals with the case of elliptical copulas and the second one deals with independent copulas. These tests…
math.ST2010★ 2 cited
Projection Pursuit through Relative Entropy Minimization
Jacques Touboul
Projection Pursuit methodology permits to solve the difficult problem of finding an estimate of a density defined on a set of very large dimension. In his seminal article, Huber (s…