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

DOI10.2140/INVOLVE.2019.12.1193zbMATH Open1454.60032arXiv1801.00212OpenAlexW3103701380WikidataQ126985919 ScholiaQ126985919MaRDI QIDQ2278640FDOQ2278640

Authors: Rebecca Durst, Steven J. Miller 

Publication date: 5 December 2019

Published in: Involve (Search for Journal in Brave)

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.

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

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zbMATH Keywords

probabilityBenford's lawtheoretical statistics

Mathematics Subject Classification ID

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

Cites Work

• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
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• Simulating from Exchangeable Archimedean Copulas
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• Benford's law and continuous dependent random variables

Cited In (1)

• Benford's law and continuous dependent random variables

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