A goodness-of-fit test for Archimedean copula models in the presence of right censoring

Takeshi Emura, Chien Wei Lin, Weijing Wang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

9 Scopus citations

Abstract

A goodness-of-fit testing procedure for Archimedean copula (AC) models is developed based on right-censored data. The proposed approach extends an existing method, which is suitable for the Clayton model, to general AC models. Asymptotic properties of the proposed test statistics under the true model assumption are derived. Simulation analysis shows that the proposed test has reasonable performance. Finally, two real data examples are analyzed for illustrative purposes.

Original languageEnglish
Pages (from-to)3033-3043
Number of pages11
JournalComputational Statistics and Data Analysis
Volume54
Issue number12
DOIs
StatePublished - 1 Dec 2010

Keywords

  • Archimedean copulas
  • Bivariate failure times
  • Clayton model
  • Concordance estimator
  • Goodness of fit test
  • U-statistics

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