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

Takeshi Emura; Chien Wei Lin; Weijing Wang

doi:10.1016/j.csda.2010.03.013

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

Takeshi Emura, Chien Wei Lin, Weijing Wang^*

^*Corresponding author for this work

National Yang Ming Chiao Tung University

Research output: Contribution to journal › Journal Article › peer-review

19 Scopus citations

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.

Original language	English
Pages (from-to)	3033-3043
Number of pages	11
Journal	Computational Statistics and Data Analysis
Volume	54
Issue number	12
DOIs	https://doi.org/10.1016/j.csda.2010.03.013
State	Published - 01 12 2010
Externally published	Yes

Keywords

Archimedean copulas
Bivariate failure times
Clayton model
Concordance estimator
Goodness of fit test
U-statistics

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10.1016/j.csda.2010.03.013

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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.",

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KW - Bivariate failure times

KW - Clayton model

KW - Concordance estimator

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ER -

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

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Keywords

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