A diagnostic test for specification of copulas under censorship
DOI10.1080/07474938.2020.1721834zbMATH Open1490.62108OpenAlexW3006253667MaRDI QIDQ5861008FDOQ5861008
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
Recommendations
- A semiparametric test of independence in copula models for censored data
- Goodness-of-fit test for specification of semiparametric copula dependence models
- Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data
- Recognizing and visualizing copulas: an approach using local Gaussian approximation
- An Information Ratio-Based Goodness-of-Fit Test for Copula Models on Censored Data
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Goodness-of-fit tests for copulas: A review and a power study
- Title not available (Why is that?)
- Dependence modeling with copulas
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- Title not available (Why is that?)
- Title not available (Why is that?)
- Data-Driven Version of Neyman's Smooth Test of Fit
- A review of copula models for economic time series
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Estimating a distribution function with truncated and censored data
- A goodness-of-fit test for Archimedean copula models in the presence of right censoring
- A goodness-of-fit test for association in a bivariate survival model
- Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
- Understanding Relationships Using Copulas
- Large sample behaviour of the product-limit estimator on the whole line
- Fitting bivariate loss distributions with copulas
- The strong law under random censorship
- An overview of the goodness-of-fit test problem for copulas
- Bivariate Archimedean copula models for censored data in non-life insurance
- A class of goodness of fit tests for a copula based on bivariate right-censored data
- Rank tests for independence for bivariate censored data
- Using specially designed exponential families for density estimation
- A note on the uniform consistency of the Kaplan-Meier estimator
- Data driven smooth tests for composite hypotheses
- Data-Driven Rank Tests for Independence
- Title not available (Why is that?)
- Modelling dependence
- Exponential series estimator of multivariate densities
- Goodness-of-fit tests for censored survival data
- Estimation and model selection of semiparametric multivariate survival functions under general censorship
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- Goodness-of-fit tests for Archimedean copula models
- An automatic portmanteau test for serial correlation
- Likelihood ratio procedures and tests of fit in parametric and semiparametric copula models with censored data
- Copula inference under censoring
- Title not available (Why is that?)
Cited In (4)
- An Information Ratio-Based Goodness-of-Fit Test for Copula Models on Censored Data
- Recognizing and visualizing copulas: an approach using local Gaussian approximation
- Copula models and diagnostics for multivariate interval-censored data
- Goodness-of-fit test for semiparametric copula models with bivariate interval-censored data
Uses Software
This page was built for publication: A diagnostic test for specification of copulas under censorship
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5861008)
