Benford's law beyond independence : tracking Benford behavior in copula models

DOI10.2140/INVOLVE.2019.12.1193MaRDI QIDQ2278640zbMATH OpenOpenAlexWikidataFDO

Authors Rebecca Durst, Steven J. Miller

Publication date 5 December 2019

Published in Involve (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.00212

zbMATH Keywords

probabilityBenford's lawtheoretical statistics

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Distribution theory (60E99)

Abstract: Benford's law describes a common phenomenon among many naturally occurring data sets and distributions in which the leading digits of the data are distributed with the probability of a first digit of $d$ base $B$ being $lo{g}_{B}fracd+1d$. As it often successfully detects fraud in medical trials, voting, science and finance, significant effort has been made to understand when and how distributions exhibit Benford behavior. Most of the previous work has been restricted to cases of independent variables, and little is known about situations involving dependence. We use copulas to investigate the Benford behavior of the product of $n$ dependent random variables. We develop a method for approximating the Benford behavior of a product of $n$ dependent random variables modeled by a copula distribution $C$ and quantify and bound a copula distribution's distance from Benford behavior. We then investigate the Benford behavior of various copulas under varying dependence parameters and number of marginals. Our investigations show that the convergence to Benford behavior seen with independent random variables as the number of variables in the product increases is not necessarily preserved when the variables are dependent and modeled by a copula. Furthermore, there is strong indication that the preservation of Benford behavior of the product of dependent random variables may be linked more to the structure of the copula than to the Benford behavior of the marginal distributions.

Recommendations

• Benford's law and continuous dependent random variables
• General Benford law
• Benford's law. Theory and applications
• On Characterizations and Tests of Benford’s Law
• On the non-existence of a general Benford's law

Cites work

• scientific article; zbMATH DE number 1113633 (Why is no real title available?)
• scientific article; zbMATH DE number 3029380 (Why is no real title available?)
• An introduction to Benford's law
• Benford's law and continuous dependent random variables
• Benford's law. Theory and applications
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Simulating from Exchangeable Archimedean Copulas
• The Weibull distribution and Benford's law

Cited in

(1)

• Benford's law and continuous dependent random variables

This page was built for publication: Benford's law beyond independence : tracking Benford behavior in copula models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2278640)