Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on positive definite bilinear forms. The suggested test avoids the use of plug-in estimators that is the common practice in the literature. The test statistics ...

We propose a nonparametric statistical test for goodness-of-fit: given a set of samples, the test determines how likely it is that these were generated from a target density function. The measure of goodness-of-fit is a divergence constructed via Stein’s method using functions from a Reproducing Kernel Hilbert Space. Our test statistic is based on an empirical estimate of this divergence, takin...

We present a systematic examination of real network datasets using maximum likelihood estimation for exponential random graph models as well as new procedures to evaluate how well the models fit the observed graphs. These procedures compare structural statistics of the observed graph with the corresponding statistics on graphs simulated from the fitted model. We apply this approach to the study...

An analytical formula for the probability distribution of stock-market returns, derived from the Heston model assuming a mean-reverting stochastic volatility, was recently proposed by Drăgulescu and Yakovenko in Quantitative Finance 2002. While replicating their results, we found two significant weaknesses in their method to pre-process the data, which cast a shadow over the effective goodness-...

We propose the use of the generalized fractional Bayes factor for testing fit in multinomial models. This is a non-asymptotic method that can be used to quantify the evidence for or against a sub-model. We give expressions for the generalized fractional Bayes factor and we study its properties. In particular, we show that the generalized fractional Bayes factor has better properties than the fr...

I describe a goodness-of-fit measure for revealed preference tests. This index can be used to measure the degree to which an economic agent violates the model of utility maximization. I calculate the violation indices for a 38 consumers and find that the observed choice behavior is very close to optimizing behavior.

This paper is concerned with the goodness-of-fit of induced decision trees. Namely, we explore the possibility to measure the goodnessof-fit as it is classically done in statistical modeling. We show how Chisquare statistics and especially the Log-likelihood Ratio statistic that is abundantly used in the modeling of cross tables, can be adapted for induction trees. Not only is the Log-likelihoo...

Extended Abstract. Suppose n i.i.d. observations, X1, …, Xn, are available from the unknown distribution F(.), goodness-of-fit tests refer to tests such as H0 : F(x) = F0(x) against H1 : F(x) $neq$ F0(x). Some nonparametric tests such as the Kolmogorov--Smirnov test, the Cramer-Von Mises test, the Anderson-Darling test and the Watson test have been suggested by comparing empirical ...

We introduce a new statistic, ’spectral goodness of fit’ (SGOF) to measure how well a network model explains the structure of an observed network. SGOF provides an absolute measure of fit, analogous to the standard R2 in linear regression. Additionally, as it takes advantage of the properties of the spectrum of the graph Laplacian, it is suitable for comparing network models of diverse function...

In this chapter, we discuss the dynamic nature of ethnic minority status and the unique challenges and opportunities this concept presents for scientists engaged in the ethical practice of research. Next, we discuss goodness-of-fit ethics (GFE) as a model for ethics-in-science decision making (Fisher, 2004). We then discuss the concept of co-learning and its role in the process of developing GF...