標題: | A goodness-of-fit test for Archimedean copula models in the presence of right censoring |
作者: | Emura, Takeshi Lin, Chien-Wei Wang, Weijing 統計學研究所 Institute of Statistics |
關鍵字: | Archimedean copulas;Bivariate failure times;Clayton model;Concordance estimator;Goodness of fit test;U-statistics |
公開日期: | 1-十二月-2010 |
摘要: | A goodness-of-fit testing procedure for Archimedean copula (AC) models is developed based on right-censored data. The proposed approach extends an existing method, which is suitable for the Clayton model, to general AC models. Asymptotic properties of the proposed test statistics under the true model assumption are derived. Simulation analysis shows that the proposed test has reasonable performance. Finally, two real data examples are analyzed for illustrative purposes. (C) 2010 Elsevier B.V. All rights reserved. |
URI: | http://dx.doi.org/10.1016/j.csda.2010.03.013 http://hdl.handle.net/11536/26305 |
ISSN: | 0167-9473 |
DOI: | 10.1016/j.csda.2010.03.013 |
期刊: | COMPUTATIONAL STATISTICS & DATA ANALYSIS |
Volume: | 54 |
Issue: | 12 |
起始頁: | 3033 |
結束頁: | 3043 |
顯示於類別: | 期刊論文 |