کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5077478 1374132 2009 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Goodness-of-fit tests for copulas: A review and a power study
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Goodness-of-fit tests for copulas: A review and a power study
چکیده انگلیسی
Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on “blanket tests”, i.e., those whose implementation requires neither an arbitrary categorization of the data nor any strategic choice of smoothing parameter, weight function, kernel, window, etc. The authors present a critical review of these procedures and suggest new ones. They describe and interpret the results of a large Monte Carlo experiment designed to assess the effect of the sample size and the strength of dependence on the level and power of the blanket tests for various combinations of copula models under the null hypothesis and the alternative. To circumvent problems in the determination of the limiting distribution of the test statistics under composite null hypotheses, they recommend the use of a double parametric bootstrap procedure, whose implementation is detailed. They conclude with a number of practical recommendations.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 44, Issue 2, April 2009, Pages 199-213
نویسندگان
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