A goodness-of-fit test for Archimedean copula models in the presence of right censoring

Title:	A goodness-of-fit test for Archimedean copula models in the presence of right censoring
Authors:	Emura, Takeshi Lin, Chien-Wei Wang, Weijing 統計學研究所 Institute of Statistics
Keywords:	Archimedean copulas;Bivariate failure times;Clayton model;Concordance estimator;Goodness of fit test;U-statistics
Issue Date:	1-Dec-2010
Abstract:	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
Journal:	COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume:	54
Issue:	12
Begin Page:	3033
End Page:	3043
Appears in Collections:	Articles

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