204
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

A diagnostic test for specification of copulas under censorship

&

References

  • Andersen, P. K., Ekstrøm, C. T., Klein, J. P., Shu, Y., Zhang, M.-J. (2005). A class of goodness of fit tests for a copula based on bivariate right-censored data. Biometrical Journal 47(6):815–824. doi:10.1002/bimj.200410163
  • Ben Ghorbal, N., Genest, C., NesÌOElehová, J. (2009). On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence. Canadian Journal of Statistics 37(4):534–552. doi:10.1002/cjs.10034
  • Berg, D. (2009). Copula goodness-of-fit testing: an overview and power comparison. The European Journal of Finance 15(7-8):675–701. doi:10.1080/13518470802697428
  • Chen, X., Fan, Y. (2005). Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection. Canadian Journal of Statistics 33(3):389–414. doi:10.1002/cjs.5540330306
  • Chen, X., Fan, Y. (2006). Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification. Journal of Econometrics 135:125–154.
  • Chen, X., Fan, Y., Pouzo, D., Ying, Z. (2010). Estimation and model selection of semiparametric multivariate survival functions under general censorship. Journal of Econometrics 157(1):129–142. doi:10.1016/j.jeconom.2009.10.021
  • Cherubini, U., Luciano, E., Vecchiato, W. (2004). Copula methods in finance, England: Wiley.
  • Cherubini, U., Mulinacci, S., Gobbi, F., Romagnoli, S. (2011). Dynamic copula methods in finance, England: Wiley.
  • Cox, D. R., Hinkley, D. V. (1974). Theoretical statistics, London: Chapman & Hall.
  • Dabrowska, D. M. (1986). Rank tests for independence for bivariate censored data. The Annals of Statistics 14(1):250–264. doi:10.1214/aos/1176349853
  • — (1996). Weak convergence of a product integral dependence measure. Scandinavian Journal of Statistics 23:551–580.
  • Dempster, A. P., Laird, N. M., Rubin, D. B. (1977). Maximum likelihood from incomplete data via the EM algorithm. Journal of the Royal Statistical Society: Series B (Methodological) 39:1–38. doi:10.1111/j.2517-6161.1977.tb01600.x
  • Denuit, M., Purcaru, O., Van Keilegom, I. (2006). Bivariate Archimedean copula models for censored data in non-life insurance. Journal of Actuarial Practice 13:5–32.
  • Efron, B., Tibshirani, R. (1996). Using specially designed exponential families for density estimation. The Annals of Statistics 24:2431–2461. doi:10.1214/aos/1032181161
  • Emura, T., Lin, C.-W., Wang, W. (2010). A goodness-of-fit test for Archimedean copula models in the presence of right censoring. Computational Statistics & Data Analysis 54:3033–3043. doi:10.1016/j.csda.2010.03.013
  • Escanciano, J. C., Lobato, I. N. (2009). An automatic portmanteau test for serial correlation. Journal of Econometrics 151(2):140–149. doi:10.1016/j.jeconom.2009.03.001
  • Escanciano, J. C., Lobato, I. N., Zhu, L. (2013). Automatic specification testing for vector autoregressions and multivariate nonlinear time series models. Journal of Business & Economic Statistics 31:426–437. doi:10.1080/07350015.2013.803973
  • Fermanian, J.-D. (2013). An overview of the goodness-of-fit test problem for copulas. In: Piotr and Durante, Fabrizio and Hardle, Wolfgang Karl, Copulae in mathematical and quantitative finance, Newyork City: Springer, pp. 61–89.
  • Frees, E., Valdez, E. (1998). Understanding relationships using copulas. North American Actuarial Journal 2(1):1–25. doi:10.1080/10920277.1998.10595667
  • Frees, E. W., Carriere, J., Valdez, E. (1996). Annuity valuation with dependent mortality. The Journal of Risk and Insurance 63(2):229–261. doi:10.2307/253744
  • Genest, C., Ghoudi, K., Rivest, L. (1995). A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 82(3):543–552. doi:10.1093/biomet/82.3.543
  • Genest, C., Rémillard, B., Beaudoin, D. (2009). Goodness-of-fit tests for copulas: a review and a power study. Insurance: Mathematics and Economics 44:199–213. doi:10.1016/j.insmatheco.2007.10.005
  • Genest, C., Rivest, L.-P. (1993). Statistical inference procedures for bivariate Archimedean copulas. Journal of the American Statistical Association 88(423):1034–1043. doi:10.1080/01621459.1993.10476372
  • Gill, R. (1983). Large sample behaviour of the product-limit estimator on the whole line. The Annals of Statistics 11(1):49–58. doi:10.1214/aos/1176346055
  • Gill, R. D. (1980). Censoring and stochastic integrals. Statistica Neerlandica 34(2):124–124. doi:10.1111/j.1467-9574.1980.tb00692.x
  • Gray, R., Pierce, D. (1985). Goodness-of-fit tests for censored survival data. The Annals of Statistics 13(2):552–563. doi:10.1214/aos/1176349538
  • Inglot, T., Kallenberg, W. C., Ledwina, T. (1997). Data driven smooth tests for composite hypotheses. The Annals of Statistics 25:1222–1250. doi:10.1214/aos/1069362746
  • Joe, H. (2014). Dependence modeling with copulas, Boca Raton, Florida:Chapman and Hall/CRC.
  • Kallenberg, W. C. (2008). Modelling dependence. Insurance: Mathematics and Economics 42:127–146. doi:10.1016/j.insmatheco.2007.01.008
  • Kallenberg, W. C., Ledwina, T. (1999). Data-driven rank tests for independence. Journal of the American Statistical Association 94(445):285–301. doi:10.1080/01621459.1999.10473844
  • Klugman, S., Parsa, R. (1999). Fitting bivariate loss distributions with copulas. Insurance: Mathematics and Economics 24:139–148. doi:10.1016/S0167-6687(98)00039-0
  • Lai, T. L., Ying, Z. (1991). Estimating a distribution function with truncated and censored data. The Annals of Statistics 19(1):417–442. doi:10.1214/aos/1176347991
  • Lakhal-Chaieb, M. (2010). Copula inference under censoring. Biometrika 97(2):505–512. doi:10.1093/biomet/asq011
  • Ledwina, T. (1994). Data driven version of the Neyman smooth test of fit. Journal of the American Statistical Association 89(427):1000–1005. doi:10.1080/01621459.1994.10476834
  • Lin, J., Wu, X. (2015). Smooth tests of copula specifications. Journal of Business & Economic Statistics 33:128–143. doi:10.1080/07350015.2014.932696
  • McNeil, A., Frey, R., Embrechts, P. (2005). Quantitative risk management: concepts, techniques, and tools, Princeton, NJ: Princeton University Press.
  • Neyman, J. (1937). Smooth test’ for goodness of fit. Skandinaviske Aktuarietidskrift 20:150–199.
  • Patton, A. (2012). A review of copula models for economic time series. Journal of Multivariate Analysis 110:4–18. doi:10.1016/j.jmva.2012.02.021
  • Rigobon, R., Stoker, T. M. (2007). Estimation with censored regressors: basic issues. International Economic Review 48(4):1441–1467. doi:10.1111/j.1468-2354.2007.00470.x
  • Salmon, F. (2009). Recipe for disaster: the formula that killed wall street. Wired 17:74–79.
  • Shih, J. H. (1998). A goodness-of-fit test for association in a bivariate survival model. Biometrika 85(1):189–200. doi:10.1093/biomet/85.1.189
  • Sklar, A. (1959). Fonctions De rpartition n Dimensions et Leurs Marges. Publications de l'Institut de Statistique de l'Universit de Paris 8:229–231.
  • Stute, W., Wang, J.-L. (1993). The strong law under random censorship. The Annals of Statistics 21(3):1591–1607. doi:10.1214/aos/1176349273
  • Wang, A. (2010). Goodness-of-fit tests for Archimedean copula models. Statistica Sinica 20:441–453.
  • Wang, J.-G. (1987). A note on the uniform consistency of the Kaplan-Meier estimator. The Annals of Statistics 15(3):1313–1316. doi:10.1214/aos/1176350507
  • Wang, W., Wells, M. T. (2000). Model selection and semiparametric inference for bivariate failure-time data. Journal of the American Statistical Association 95(449):62–72. doi:10.1080/01621459.2000.10473899
  • Wu, X. (2010). Exponential series estimator of multivariate densities. Journal of Econometrics 156(2):354–366. doi:10.1016/j.jeconom.2009.11.005
  • Yilmaz, Y. E., Lawless, J. F. (2011). Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data. Lifetime Data Analysis 17(3):386–408. doi:10.1007/s10985-011-9192-2

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.