Asymptotically Distribution Free Goodness Of Fit Testing For Copulas

Download Asymptotically Distribution Free Goodness Of Fit Testing For Copulas full books in PDF, epub, and Kindle. Read online Asymptotically Distribution Free Goodness Of Fit Testing For Copulas ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!

Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas

Author : Sami Can
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas by : Sami Can

Download or read book Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas written by Sami Can and published by . This book was released on 2017 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consider a random sample from a continuous multivariate distribution function F with copula C. In order to test the null hypothesis that C belongs to a certain parametric family, we construct an under H0 asymptotically distribution-free process that serves as a tests generator. The process is a transformation of the difference of a semi-parametric and a parametric estimator of C. This transformed empirical process converges weakly to a standard multivariate Wiener process, paving the way for a multitude of powerful asymptotically distribution-free goodness-of-fit tests for copula families. We investigate the finite-sample performance of our approach through a simulation study and illustrate its applicability with a data analysis.

Asymptotically Distribution-free Goodness-of-fit Testing for Tail Copulas

Author :
Publisher :
ISBN 13 :
Total Pages : 27 pages
Book Rating : 4.:/5 (931 download)

DOWNLOAD NOW!

Book Synopsis Asymptotically Distribution-free Goodness-of-fit Testing for Tail Copulas by :

Download or read book Asymptotically Distribution-free Goodness-of-fit Testing for Tail Copulas written by and published by . This book was released on 2014 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

An Overview of the Goodness-of-Fit Test Problem for Copulas

Author : Jean-David Fermanian
Publisher :
ISBN 13 :
Total Pages : 29 pages
Book Rating : 4.:/5 (13 download)

DOWNLOAD NOW!

Book Synopsis An Overview of the Goodness-of-Fit Test Problem for Copulas by : Jean-David Fermanian

Download or read book An Overview of the Goodness-of-Fit Test Problem for Copulas written by Jean-David Fermanian and published by . This book was released on 2013 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: We review the main “omnibus procedures” for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc., and some corresponding reductions of dimension techniques. The problems of finding asymptotic distribution-free test statistics and the calculation of reliable p-values are discussed. Some particular cases, like convenient tests for time-dependent copulas, for Archimedean or extreme-value copulas, etc, are dealt with. Finally, the practical performances of the proposed approaches are briefly summarized.

An Asymptotically Distribution-free Goodness-of-fit Test for Families of Statistical Distributions Depending on Two Parameters

Author : Fortunato Pesarin
Publisher :
ISBN 13 :
Total Pages : 6 pages
Book Rating : 4.:/5 (375 download)

DOWNLOAD NOW!

Book Synopsis An Asymptotically Distribution-free Goodness-of-fit Test for Families of Statistical Distributions Depending on Two Parameters by : Fortunato Pesarin

Download or read book An Asymptotically Distribution-free Goodness-of-fit Test for Families of Statistical Distributions Depending on Two Parameters written by Fortunato Pesarin and published by . This book was released on 1981 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt:

On Some Goodness-Of-Fit Tests for Copulas

Author : Wei Lu
Publisher : Open Dissertation Press
ISBN 13 : 9781361292426
Total Pages : pages
Book Rating : 4.2/5 (924 download)

DOWNLOAD NOW!

Book Synopsis On Some Goodness-Of-Fit Tests for Copulas by : Wei Lu

Download or read book On Some Goodness-Of-Fit Tests for Copulas written by Wei Lu and published by Open Dissertation Press. This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "On Some Goodness-of-fit Tests for Copulas" by Wei, Lu, 吕薇, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Copulas have been known in the statistical literature for many years, and have become useful tools in modeling dependence structure of multivariate random variables, overcoming some of the drawbacks of the commonly-used correlation measures. Goodness-of-fit tests for copulas play a very important role in evaluating the suitability of a potential input copula model. In recent years, many approaches have been proposed for constructing goodness-of-fit tests for copula families. Among them, the so-called "blanket tests" do not require an arbitrary data categorization or any strategic choice of weight function, smoothing parameter, kernel, and so on. As preliminaries, some background and related results of copulas are firstly presented. Three goodness-of-fit test statistics belonging to the blanket test classification are then introduced. Since the asymptotic distributions of the test statistics are very complicated, parametric bootstrap procedures are employed to approximate critical values of the test statistics under the null hypotheses. To assess the performance of the three test statistics in the low dependence cases, simulation studies are carried out for three bivariate copula families, namely the Gumbel-Hougaard copula family, the Ali-Mikhail-Haq copula family, and the Farlie-Gumbel-Morgenstern copula family. Specifically the effect of low dependence on the empirical sizes and powers of the three blanket tests under various combinations of null and alternative copula families are examined. Furthermore, to check the performance of the three tests for higher dimensional copulas, the simulation studies are extended to some three-dimensional copulas. Finally the three goodness-of-fit tests are applied to two real data sets. DOI: 10.5353/th_b4784996 Subjects: Copulas (Mathematical statistics) Goodness-of-fit tests

Copulae in Mathematical and Quantitative Finance

Author : Piotr Jaworski
Publisher : Springer Science & Business Media
ISBN 13 : 3642354076
Total Pages : 299 pages
Book Rating : 4.6/5 (423 download)

DOWNLOAD NOW!

Book Synopsis Copulae in Mathematical and Quantitative Finance by : Piotr Jaworski

Download or read book Copulae in Mathematical and Quantitative Finance written by Piotr Jaworski and published by Springer Science & Business Media. This book was released on 2013-06-18 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of applied mathematics, especially finance and insurance. Today, copulas represent a well-recognized tool for market and credit models, aggregation of risks, and portfolio selection. Historically, the Gaussian copula model has been one of the most common models in credit risk. However, the recent financial crisis has underlined its limitations and drawbacks. In fact, despite their simplicity, Gaussian copula models severely underestimate the risk of the occurrence of joint extreme events. Recent theoretical investigations have put new tools for detecting and estimating dependence and risk (like tail dependence, time-varying models, etc) in the spotlight. All such investigations need to be further developed and promoted, a goal this book pursues. The book includes surveys that provide an up-to-date account of essential aspects of copula models in quantitative finance, as well as the extended versions of talks selected from papers presented at the workshop in Cracow.

Nonparametric Statistics

Author : Michele La Rocca
Publisher : Springer Nature
ISBN 13 : 3030573060
Total Pages : 547 pages
Book Rating : 4.0/5 (35 download)

DOWNLOAD NOW!

Book Synopsis Nonparametric Statistics by : Michele La Rocca

Download or read book Nonparametric Statistics written by Michele La Rocca and published by Springer Nature. This book was released on 2020-11-11 with total page 547 pages. Available in PDF, EPUB and Kindle. Book excerpt: Highlighting the latest advances in nonparametric and semiparametric statistics, this book gathers selected peer-reviewed contributions presented at the 4th Conference of the International Society for Nonparametric Statistics (ISNPS), held in Salerno, Italy, on June 11-15, 2018. It covers theory, methodology, applications and computational aspects, addressing topics such as nonparametric curve estimation, regression smoothing, models for time series and more generally dependent data, varying coefficient models, symmetry testing, robust estimation, and rank-based methods for factorial design. It also discusses nonparametric and permutation solutions for several different types of data, including ordinal data, spatial data, survival data and the joint modeling of both longitudinal and time-to-event data, permutation and resampling techniques, and practical applications of nonparametric statistics. The International Society for Nonparametric Statistics is a unique global organization, and its international conferences are intended to foster the exchange of ideas and the latest advances and trends among researchers from around the world and to develop and disseminate nonparametric statistics knowledge. The ISNPS 2018 conference in Salerno was organized with the support of the American Statistical Association, the Institute of Mathematical Statistics, the Bernoulli Society for Mathematical Statistics and Probability, the Journal of Nonparametric Statistics and the University of Salerno.

Kernel Based Goodness-of-fit Tests for Copulas with Fixed Smoothing Parameters

Author : Olivier Scaillet
Publisher :
ISBN 13 :
Total Pages : 18 pages
Book Rating : 4.:/5 (717 download)

DOWNLOAD NOW!

Book Synopsis Kernel Based Goodness-of-fit Tests for Copulas with Fixed Smoothing Parameters by : Olivier Scaillet

Download or read book Kernel Based Goodness-of-fit Tests for Copulas with Fixed Smoothing Parameters written by Olivier Scaillet and published by . This book was released on 2005 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Frailty Model

Author : Luc Duchateau
Publisher : Springer Science & Business Media
ISBN 13 : 038772835X
Total Pages : 329 pages
Book Rating : 4.3/5 (877 download)

DOWNLOAD NOW!

Book Synopsis The Frailty Model by : Luc Duchateau

Download or read book The Frailty Model written by Luc Duchateau and published by Springer Science & Business Media. This book was released on 2007-10-23 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: Readers will find in the pages of this book a treatment of the statistical analysis of clustered survival data. Such data are encountered in many scientific disciplines including human and veterinary medicine, biology, epidemiology, public health and demography. A typical example is the time to death in cancer patients, with patients clustered in hospitals. Frailty models provide a powerful tool to analyze clustered survival data. In this book different methods based on the frailty model are described and it is demonstrated how they can be used to analyze clustered survival data. All programs used for these examples are available on the Springer website.

The Asymptotic Power of the Kolmogorov Tests of Goodness of Fit

Author : Dana Quade
Publisher :
ISBN 13 :
Total Pages : 198 pages
Book Rating : 4.3/5 (91 download)

DOWNLOAD NOW!

Book Synopsis The Asymptotic Power of the Kolmogorov Tests of Goodness of Fit by : Dana Quade

Download or read book The Asymptotic Power of the Kolmogorov Tests of Goodness of Fit written by Dana Quade and published by . This book was released on 1969 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Goodness-of-fit

Author : Pál Révész
Publisher : North Holland
ISBN 13 :
Total Pages : 632 pages
Book Rating : 4.3/5 (91 download)

DOWNLOAD NOW!

Book Synopsis Goodness-of-fit by : Pál Révész

Download or read book Goodness-of-fit written by Pál Révész and published by North Holland. This book was released on 1987 with total page 632 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Goodness-of-Fit Tests for Copulas of Dependent Observations

Author : Volker Rehbock
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.:/5 (31 download)

DOWNLOAD NOW!

Book Synopsis Goodness-of-Fit Tests for Copulas of Dependent Observations by : Volker Rehbock

Download or read book Goodness-of-Fit Tests for Copulas of Dependent Observations written by Volker Rehbock and published by . This book was released on 2008 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Seminar on Empirical Processes

Author : P. Gaenssler
Publisher : Birkhäuser
ISBN 13 : 3034862695
Total Pages : 117 pages
Book Rating : 4.0/5 (348 download)

DOWNLOAD NOW!

Book Synopsis Seminar on Empirical Processes by : P. Gaenssler

Download or read book Seminar on Empirical Processes written by P. Gaenssler and published by Birkhäuser. This book was released on 2013-11-21 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Nonparametric Statistics: Theory And Methods

Author : Jayant V Deshpande
Publisher : World Scientific
ISBN 13 : 981466359X
Total Pages : 279 pages
Book Rating : 4.8/5 (146 download)

DOWNLOAD NOW!

Book Synopsis Nonparametric Statistics: Theory And Methods by : Jayant V Deshpande

Download or read book Nonparametric Statistics: Theory And Methods written by Jayant V Deshpande and published by World Scientific. This book was released on 2017-10-17 with total page 279 pages. Available in PDF, EPUB and Kindle. Book excerpt: The number of books on Nonparametric Methodology is quite small as compared to, say, on Design of Experiments, Regression Analysis, Multivariate Analysis, etc. Because of being perceived as less effective, nonparametric methods are still the second choice. Actually, it has been demonstrated time and again that they are useful. We feel that there is still need for proper texts/applications/reference books on Nonparametric Methodology.This book will introduce various types of data encountered in practice and suggest the appropriate nonparametric methods, discuss their properties through null and non-null distributions whenever possible and demonstrate the very minor loss in power and efficiency in the nonparametric method, if any.The book will cover almost all topics of current interest such as bootstrapping, ranked set sampling, techniques for censored data and Bayesian analysis under nonparametric set ups.

Capital Formation, Governance and Banking

Author : Edith Klein
Publisher : Nova Publishers
ISBN 13 : 9781594541919
Total Pages : 224 pages
Book Rating : 4.5/5 (419 download)

DOWNLOAD NOW!

Book Synopsis Capital Formation, Governance and Banking by : Edith Klein

Download or read book Capital Formation, Governance and Banking written by Edith Klein and published by Nova Publishers. This book was released on 2005 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new volume presents leading international analyses of some of the most dynamic issues in the financial sector. Venture capital in the Singapore as well as the evolution of family firms are examined. The potential conflict of banks as shareholders is scrutinised as well. Other topics here include: interest rates and their predictability and smoothing, e-banking services, ownership of financial institutions and its potential impact on profitability. In addition, the predominance or lack thereof of foreign banks and the effect of them is viewed from an economic perspective.

Chi-squared Goodness-of-fit Tests for Censored Data

Author : Mikhail S. Nikulin
Publisher : John Wiley & Sons
ISBN 13 : 1119427614
Total Pages : 166 pages
Book Rating : 4.1/5 (194 download)

DOWNLOAD NOW!

Book Synopsis Chi-squared Goodness-of-fit Tests for Censored Data by : Mikhail S. Nikulin

Download or read book Chi-squared Goodness-of-fit Tests for Censored Data written by Mikhail S. Nikulin and published by John Wiley & Sons. This book was released on 2017-07-06 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the problems of construction and application of chi-squared goodness-of-fit tests for complete and censored data. Classical chi-squared tests assume that unknown distribution parameters are estimated using grouped data, but in practice this assumption is often forgotten. In this book, we consider modified chi-squared tests, which do not suffer from such a drawback. The authors provide examples of chi-squared tests for various distributions widely used in practice, and also consider chi-squared tests for the parametric proportional hazards model and accelerated failure time model, which are widely used in reliability and survival analysis. Particular attention is paid to the choice of grouping intervals and simulations. This book covers recent innovations in the field as well as important results previously only published in Russian. Chi-squared tests are compared with other goodness-of-fit tests (such as the Cramer-von Mises-Smirnov, Anderson-Darling and Zhang tests) in terms of power when testing close competing hypotheses.

Kernel Based Goodness-of-Fit Test for Copulas with Fixed Smoothing Parameters

Author : O. Scaillet
Publisher :
ISBN 13 :
Total Pages : 17 pages
Book Rating : 4.:/5 (129 download)

DOWNLOAD NOW!

Book Synopsis Kernel Based Goodness-of-Fit Test for Copulas with Fixed Smoothing Parameters by : O. Scaillet

Download or read book Kernel Based Goodness-of-Fit Test for Copulas with Fixed Smoothing Parameters written by O. Scaillet and published by . This book was released on 2005 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a test statistic on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven by a U-statistic of order 4 with degeneracy of order 3. For practical implementation we suggest to compute the critical values through a semiparametric bootstrap. Monte Carlo results show that the bootstrap procedure performs well in small samples. In particular size and power are less sensitive to smoothing parameter choice than they are under the asymptotic approximation obtained for a vanishing bandwidth.