کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4949327 1440044 2017 33 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Some copula inference procedures adapted to the presence of ties
ترجمه فارسی عنوان
برخی از روشهای استنتاج کوپولا برای حضور روابط سازگار است
کلمات کلیدی
بوت استرپ، قابلیت تعویض، وابستگی شدید به ارزش، برازش، بوت استرپ پارامتریک، تقارن شعاعی، آزمون های آماری روابط،
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
چکیده انگلیسی
When modeling the distribution of a multivariate continuous random vector using the so-called copula approach, it is not uncommon to have ties in the coordinate samples of the available data because of rounding or lack of measurement precision. Yet, the vast majority of existing inference procedures on the underlying copula were both theoretically derived and practically implemented under the assumption of no ties. Applying them nonetheless can lead to strongly biased results. Some of the existing statistical tests can however be adapted to provide meaningful results in the presence of ties. It is the case of some tests of exchangeability, radial symmetry, extreme-value dependence and goodness of fit. Detailed algorithms for computing approximate p-values for the modified tests are provided and their finite-sample behaviors are empirically investigated through extensive Monte Carlo experiments. An illustration on a real-world insurance data set concludes the work.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 112, August 2017, Pages 24-41
نویسندگان
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