Asymptotic total variation tests for copulas
نویسندگان
چکیده
منابع مشابه
Asymptotic Behaviour of Total Generalised Variation
The recently introduced second order total generalised variation functional TGVβ,α has been a successful regulariser for image processing purposes. Its definition involves two positive parameters α and β whose values determine the amount and the quality of the regularisation. In this paper we report on the behaviour of TGVβ,α in the cases where the parameters α, β as well as their ratio β/α bec...
متن کاملAsymptotic development for the CLT in total variation distance
The aim of this paper is to study the asymptotic expansion in total variation in the Central Limit Theorem when the law of the basic random variable is locally lower-bounded by the Lebesgue measure (or equivalently, has an absolutely continuous component): we develop the error in powers of n and give an explicit formula for the approximating measure.
متن کاملStatistical Tests for Total Variation Regularization Parameter Selection
Total Variation (TV) is an effective method of removing noise in digital image processing while preserving edges [23]. The choice of scaling or regularization parameter in the TV process defines the amount of denoising, with value of zero giving a result equivalent to the input signal. Here we explore three algorithms for specifying this parameter based on the statistics of the signal in the to...
متن کاملGoodness-of-fit tests for Archimedean copulas in large dimensions
A goodness-of-fit test for exchangeable Archimedean copulas is presented. In a large-scale simulation study it is shown that the test performs well according to the error probability of the first kind and the power under several alternatives, especially in large dimensions. The proposed test is compared to other known tests for Archimedean copulas. In contrast to the latter, the former is simpl...
متن کاملGoodness-of-Fit Tests for Copulas of Multivariate Time Series
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the distribution of innovations are discussed. It is also shown that if the stochastic volatility matrices are...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bernoulli
سال: 2015
ISSN: 1350-7265
DOI: 10.3150/14-bej632