A diagnostic test for specification of copulas under censorship
From MaRDI portal
Publication:5861008
DOI10.1080/07474938.2020.1721834zbMath1490.62108MaRDI QIDQ5861008
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2020.1721834
62G10: Nonparametric hypothesis testing
62G20: Asymptotic properties of nonparametric inference
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A goodness-of-fit test for Archimedean copula models in the presence of right censoring
- Goodness-of-fit tests for copulas: A review and a power study
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- A review of copula models for economic time series
- Exponential series estimator of multivariate densities
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
- Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data
- Modelling dependence
- Large sample behaviour of the product-limit estimator on the whole line
- Goodness-of-fit tests for censored survival data
- Rank tests for independence for bivariate censored data
- A note on the uniform consistency of the Kaplan-Meier estimator
- Estimating a distribution function with truncated and censored data
- Fitting bivariate loss distributions with copulas
- The strong law under random censorship
- Using specially designed exponential families for density estimation
- Data driven smooth tests for composite hypotheses
- An automatic portmanteau test for serial correlation
- An Overview of the Goodness-of-Fit Test Problem for Copulas
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Dependence Modeling with Copulas
- Copula inference under censoring
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- A goodness-of-fit test for association in a bivariate survival model
- Data-Driven Version of Neyman's Smooth Test of Fit
- Data-Driven Rank Tests for Independence
- Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- A Class of Goodness of Fit Tests for a Copula Based on Bivariate Right-Censored Data
- Understanding Relationships Using Copulas
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection