Goodness-of-fit Tests for Archimedean Copula Models

The Comparison Between Goodness of Fit Tests for Copula

‎Copula functions as a model can show the relationship between variables‎. ‎Appropriate copula function for a specific application is a function that shows the dependency between data in a best way‎. ‎Goodness of fit tests theoretically are the best way in selection of copula function‎. ‎Different ways of goodness of fit for copula exist‎. ‎In this paper we will examine the goodness of fit test...

Chapter 1 An overview of the goodness - of - fit test problem for copulas

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 pa...

Fitting high-dimensional Copulae to Data

This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer-von-Mises type tests and calculate power of these tests under different assumptions. Novating in this paper is that all the procedures are done in dimensions h...

A goodness-of-fit test for Archimedean copula models in the presence of right censoring

Models for construction of multivariate dependence: A comparison study

We review models for construction of higher-dimensional dependence that have arisen recent years. A multivariate data set, which exhibit complex patterns of dependence, particularly in the tails, can be modelled using a cascade of lower-dimensional copulae. We examine two such models that differ in their construction of the dependency structure, namely the nested Archimedean constructions and t...