Some copula inference procedures adapted to the presence of ties
Computational Statistics & Data Analysis, 2017, vol. 112, issue C, 24-41
When modeling the distribution of a multivariate continuous random vector using the so-called copula approach, it is not uncommon to have ties in the coordinate samples of the available data because of rounding or lack of measurement precision. Yet, the vast majority of existing inference procedures on the underlying copula were both theoretically derived and practically implemented under the assumption of no ties. Applying them nonetheless can lead to strongly biased results. Some of the existing statistical tests can however be adapted to provide meaningful results in the presence of ties. It is the case of some tests of exchangeability, radial symmetry, extreme-value dependence and goodness of fit. Detailed algorithms for computing approximate p-values for the modified tests are provided and their finite-sample behaviors are empirically investigated through extensive Monte Carlo experiments. An illustration on a real-world insurance data set concludes the work.
Keywords: Bootstrap; Exchangeability; Extreme-value dependence; Goodness of fit; Parametric bootstrap; Radial symmetry; Statistical tests; Ties (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:112:y:2017:i:c:p:24-41
Access Statistics for this article
Computational Statistics & Data Analysis is currently edited by S.P. Azen
More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Haili He ().