Location of Repository

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

By Takeshi Emura, Chien-Wei Lin and Weijing Wang

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

OAI identifier:
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://www.sciencedirect.com/s... (external link)
  • Suggested articles


    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.