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- Title
Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation.
- Authors
GENEST, CHRISTIAN; QUESSY, JEAN-FRANÇOIS; RÉMILLARD, BRUNO
- Abstract
Wang & Wells [ J. Amer. Statist. Assoc. 95 (2000) 62] describe a non-parametric approach for checking whether the dependence structure of a random sample of censored bivariate data is appropriately modelled by a given family of Archimedean copulas. Their procedure is based on a truncated version of the Kendall process introduced by Genest & Rivest [ J. Amer. Statist. Assoc. 88 (1993) 1034] and later studied by Barbe et al. [ J. Multivariate Anal. 58 (1996) 197]. Although Wang & Wells (2000) determine the asymptotic behaviour of their truncated process, their model selection method is based exclusively on the observed value of its L2-norm. This paper shows how to compute asymptotic p-values for various goodness-of-fit test statistics based on a non-truncated version of Kendall's process. Conditions for weak convergence are met in the most common copula models, whether Archimedean or not. The empirical behaviour of the proposed goodness-of-fit tests is studied by simulation, and power comparisons are made with a test proposed by Shih [ Biometrika 85 (1998) 189] for the gamma frailty family.
- Subjects
COPULA functions; DISTRIBUTION (Probability theory); ASYMPTOTIC distribution; STATISTICAL hypothesis testing; STOCHASTIC convergence
- Publication
Scandinavian Journal of Statistics, 2006, Vol 33, Issue 2, p337
- ISSN
0303-6898
- Publication type
Article
- DOI
10.1111/j.1467-9469.2006.00470.x