1,789 research outputs found

    Revisiting Relations between Stochastic Ageing and Dependence for Exchangeable Lifetimes with an Extension for the IFRA/DFRA Property

    Full text link
    We first review an approach that had been developed in the past years to introduce concepts of "bivariate ageing" for exchangeable lifetimes and to analyze mutual relations among stochastic dependence, univariate ageing, and bivariate ageing. A specific feature of such an approach dwells on the concept of semi-copula and in the extension, from copulas to semi-copulas, of properties of stochastic dependence. In this perspective, we aim to discuss some intricate aspects of conceptual character and to provide the readers with pertinent remarks from a Bayesian Statistics standpoint. In particular we will discuss the role of extensions of dependence properties. "Archimedean" models have an important role in the present framework. In the second part of the paper, the definitions of Kendall distribution and of Kendall equivalence classes will be extended to semi-copulas and related properties will be analyzed. On such a basis, we will consider the notion of "Pseudo-Archimedean" models and extend to them the analysis of the relations between the ageing notions of IFRA/DFRA-type and the dependence concepts of PKD/NKD

    Large-sample tests of extreme-value dependence for multivariate copulas

    Full text link
    Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the proposed tests are the empirical copula of the data and a multiplier technique for obtaining approximate p-values for the derived statistics. The asymptotic validity of the multiplier approach is established, and the finite-sample performance of a large number of candidate test statistics is studied through extensive Monte Carlo experiments for data sets of dimension two to five. In the bivariate case, the rejection rates of the best versions of the tests are compared with those of the test of Ghoudi, Khoudraji and Rivest (1998) recently revisited by Ben Ghorbal, Genest and Neslehova (2009). The proposed procedures are illustrated on bivariate financial data and trivariate geological data.Comment: 19 page

    Copulas in finance and insurance

    Get PDF
    Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used to replicate efficient frontiers or extremal values, to price options, to estimate joint risks, and so on. Using copulas, it is easy to construct and simulate from multivariate distributions based on almost any choice of marginals and any type of dependence structure. In this paper we outline recent contributions of statistical modeling using copulas in finance and insurance. We review issues related to the notion of copulas, copula families, copula-based dynamic and static dependence structure, copulas and latent factor models and simulation of copulas. Finally, we outline hot topics in copulas with a special focus on model selection and goodness-of-fit testing

    A test for Archimedeanity in bivariate copula models

    Get PDF
    We propose a new test for the hypothesis that a bivariate copula is an Archimedean copula. The test statistic is based on a combination of two measures resulting from the characterization of Archimedean copulas by the property of associativity and by a strict upper bound on the diagonal by the Fr\'echet-upper bound. We prove weak convergence of this statistic and show that the critical values of the corresponding test can be determined by the multiplier bootstrap method. The test is shown to be consistent against all departures from Archimedeanity if the copula satisfies weak smoothness assumptions. A simulation study is presented which illustrates the finite sample properties of the new test.Comment: 18 pages, 2 figure
    • …
    corecore