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

Authors:
Takeshi Emura;Chien-Wei Lin;Weijing Wang
Affiliations:
Institute of Statistics, National Chiao-Tung University, Hsin-Chu, Taiwan, ROC;Institute of Statistics, National Chiao-Tung University, Hsin-Chu, Taiwan, ROC;Institute of Statistics, National Chiao-Tung University, Hsin-Chu, Taiwan, ROC
Venue:
Computational Statistics & Data Analysis
Year:
2010

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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.