|
|||||
|
|
A goodness-of-fit test for Archimedean copula models in the presence of right censoring |
|
| Authors: | Takeshi Emura |
| Affiliation: | Institute of Statistics, National Chiao-Tung University, Hsin-Chu, Taiwan, ROC |
| 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. |
| Keywords: | Archimedean copulas Bivariate failure times Clayton model Concordance estimator Goodness of fit test _method=retrieve& _eid=1-s2 0-S0167947310001155& _mathId=si74 gif& _pii=S0167947310001155& _issn=01679473& _acct=C000069490& _version=1& _userid=6211566& md5=423c421769963d030d389bc3e18b763f')" style="cursor:pointer U-statistics" target="_blank">" alt="Click to view the MathML source" title="Click to view the MathML source">U-statistics |
| 本文献已被 ScienceDirect 等数据库收录！ | |