TY - JOUR
T1 - A goodness-of-fit test for Archimedean copula models in the presence of right censoring
AU - Emura, Takeshi
AU - Lin, Chien Wei
AU - Wang, Weijing
PY - 2010/12/1
Y1 - 2010/12/1
N2 - 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.
AB - 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.
KW - Archimedean copulas
KW - Bivariate failure times
KW - Clayton model
KW - Concordance estimator
KW - Goodness of fit test
KW - U-statistics
UR - http://www.scopus.com/inward/record.url?scp=77955354049&partnerID=8YFLogxK
U2 - 10.1016/j.csda.2010.03.013
DO - 10.1016/j.csda.2010.03.013
M3 - Article
AN - SCOPUS:77955354049
SN - 0167-9473
VL - 54
SP - 3033
EP - 3043
JO - Computational Statistics and Data Analysis
JF - Computational Statistics and Data Analysis
IS - 12
ER -