A Test for Truncation Invariant Dependence View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2016-07-30

AUTHORS

F. Marta L. Di Lascio , Fabrizio Durante , Piotr Jaworski

ABSTRACT

A test is proposed to check whether a randomsample comes from a truncation invariant copula C, that is, if C is the copula of a pair (U, V) of random variables uniformly distributed on [0, 1], then C is also the copula of the conditional distribution function of (U,V∣U≤α)\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$(U,V\mid U\le \alpha )$$\end{document} for every α∈(0,1]\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$$\alpha \in (0,1]$$\end{document}. The asymptotic normality of the test statistics is shown. Moreover, a procedure is described to simplify the approximation of the asymptotic variance of the test. Its performance is investigated in a simulation study. More... »

PAGES

173-180

Book

TITLE

Soft Methods for Data Science

ISBN

978-3-319-42971-7
978-3-319-42972-4

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/978-3-319-42972-4_22

DOI

http://dx.doi.org/10.1007/978-3-319-42972-4_22

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1037577865


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