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Conference Paper: Goodness-of-fit tests for archimedean copulas in high dimensions

TitleGoodness-of-fit tests for archimedean copulas in high dimensions
Authors
KeywordsArchimedean copulas
Dimensions
Goodness-of-fit tests
High
Rosenblatt transformation
Transformation Method For sampling
Issue Date2015
PublisherSpringer
Citation
Conference on Risk Management Reloaded, Garching bei München, Germany, 9-13 September 2013. In Glau, K, Scherer, M, Zagst, R (Eds.), Innovations in Quantitative Risk Management: TU München, September 2013, p. 357-373. Cham: Springer, 2015 How to Cite?
AbstractA goodness-of-fit transformation for Archimedean copulas is presented from which a test can be derived. In a large-scale simulation study it is shown that the test performs well according to the error probability of the first kind and the power under several alternatives, especially in high dimensions where this test is (still) easy to apply. The test is compared to commonly applied tests for Archimedean copulas. However, these are usually numerically demanding (according to precision and runtime), especially when the dimension is large. The transformation underlying the newly proposed test was originally used for sampling random variates from Archimedean copulas. Its correctness is proven under weaker assumptions. It may be interpreted as an analogon to Rosenblatt’s transformation which is linked to the conditional distribution method for sampling random variates. Furthermore, the suggested goodness-of-fit test complements a commonly used goodness-of-fit test based on the Kendall distribution function in the sense that it utilizes all other components of the transformation except the Kendall distribution function. Finally, a graphical test based on the proposed transformation is presented.
Persistent Identifierhttp://hdl.handle.net/10722/325632
ISBN
ISSN
2023 SCImago Journal Rankings: 0.168
ISI Accession Number ID
Series/Report no.Springer Proceedings in Mathematics & Statistics ; 99

 

DC FieldValueLanguage
dc.contributor.authorHering, Christian-
dc.contributor.authorHofert, Marius-
dc.date.accessioned2023-02-27T07:34:54Z-
dc.date.available2023-02-27T07:34:54Z-
dc.date.issued2015-
dc.identifier.citationConference on Risk Management Reloaded, Garching bei München, Germany, 9-13 September 2013. In Glau, K, Scherer, M, Zagst, R (Eds.), Innovations in Quantitative Risk Management: TU München, September 2013, p. 357-373. Cham: Springer, 2015-
dc.identifier.isbn9783319091136-
dc.identifier.issn2194-1009-
dc.identifier.urihttp://hdl.handle.net/10722/325632-
dc.description.abstractA goodness-of-fit transformation for Archimedean copulas is presented from which a test can be derived. In a large-scale simulation study it is shown that the test performs well according to the error probability of the first kind and the power under several alternatives, especially in high dimensions where this test is (still) easy to apply. The test is compared to commonly applied tests for Archimedean copulas. However, these are usually numerically demanding (according to precision and runtime), especially when the dimension is large. The transformation underlying the newly proposed test was originally used for sampling random variates from Archimedean copulas. Its correctness is proven under weaker assumptions. It may be interpreted as an analogon to Rosenblatt’s transformation which is linked to the conditional distribution method for sampling random variates. Furthermore, the suggested goodness-of-fit test complements a commonly used goodness-of-fit test based on the Kendall distribution function in the sense that it utilizes all other components of the transformation except the Kendall distribution function. Finally, a graphical test based on the proposed transformation is presented.-
dc.languageeng-
dc.publisherSpringer-
dc.relation.ispartofInnovations in Quantitative Risk Management: TU München, September 2013-
dc.relation.ispartofseriesSpringer Proceedings in Mathematics & Statistics ; 99-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectArchimedean copulas-
dc.subjectDimensions-
dc.subjectGoodness-of-fit tests-
dc.subjectHigh-
dc.subjectRosenblatt transformation-
dc.subjectTransformation Method For sampling-
dc.titleGoodness-of-fit tests for archimedean copulas in high dimensions-
dc.typeConference_Paper-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.1007/978-3-319-09114-3_21-
dc.identifier.scopuseid_2-s2.0-84920903703-
dc.identifier.spage357-
dc.identifier.epage373-
dc.identifier.eissn2194-1017-
dc.identifier.isiWOS:000360221400021-
dc.publisher.placeCham-

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