کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076630 | 1477218 | 2014 | 39 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Recognizing and visualizing copulas: An approach using local Gaussian approximation
ترجمه فارسی عنوان
شناخت و تجسم مخلوط ها: یک رویکرد با استفاده از تقریب گاوسی محلی
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
In this paper we examine the relationship between a newly developed local dependence measure, the local Gaussian correlation, and standard copula theory. We are able to describe characteristics of the dependence structure in different copula models in terms of the local Gaussian correlation. Further, we construct a goodness-of-fit test for bivariate copula models. An essential ingredient of this test is the use of a canonical local Gaussian correlation and Gaussian pseudo-observations which make the test independent of the margins, so that it is a genuine test of the copula structure. A Monte Carlo study reveals that the test performs very well compared to a commonly used alternative test. We also propose two types of diagnostic plots which can be used to investigate the cause of a rejected null. Finally, our methods are applied to a “classical” insurance data set.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 57, July 2014, Pages 90-103
Journal: Insurance: Mathematics and Economics - Volume 57, July 2014, Pages 90-103
نویسندگان
Geir Drage Berentsen, Bård Støve, Dag Tjøstheim, Tommy Nordbø,