File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1080/10618600.2013.812518
- Scopus: eid_2-s2.0-84925936146
- WOS: WOS:000338205400006
- Find via
Supplementary
- Citations:
- Appears in Collections:
Article: A Graphical Goodness-of-Fit Test for Dependence Models in Higher Dimensions
Title | A Graphical Goodness-of-Fit Test for Dependence Models in Higher Dimensions |
---|---|
Authors | |
Keywords | Copulas Rosenblatt transform Test for bivariate independence |
Issue Date | 2014 |
Citation | Journal of Computational and Graphical Statistics, 2014, v. 23, n. 3, p. 700-716 How to Cite? |
Abstract | This article introduces a graphical goodness-of-fit test for copulas in more than two dimensions. The test is based on pairs of variables and can thus be interpreted as a first-order approximation of the underlying dependence structure. The idea is to first transform pairs of data columns with the Rosenblatt transform to bivariate standard uniform distributions under the null hypothesis. This hypothesis can be graphically tested with a matrix of bivariate scatterplots, Q-Q plots, or other transformations. Furthermore, additional information can be encoded as background color, such as measures of association or (approximate) p-values of tests of independence. The proposed goodness-of-fit test is designed as a basic graphical tool for detecting deviations from a postulated, possibly high-dimensional, dependence model. Various examples are given and the methodology is applied to a financial dataset. An implementation is provided by the R package copula. Supplementary material for this article is available online, which provides the R package copula and reproduces all the graphical results of this article. |
Persistent Identifier | http://hdl.handle.net/10722/325291 |
ISSN | 2023 Impact Factor: 1.4 2023 SCImago Journal Rankings: 1.530 |
ISI Accession Number ID |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Hofert, Marius | - |
dc.contributor.author | Mächler, Martin | - |
dc.date.accessioned | 2023-02-27T07:31:17Z | - |
dc.date.available | 2023-02-27T07:31:17Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | Journal of Computational and Graphical Statistics, 2014, v. 23, n. 3, p. 700-716 | - |
dc.identifier.issn | 1061-8600 | - |
dc.identifier.uri | http://hdl.handle.net/10722/325291 | - |
dc.description.abstract | This article introduces a graphical goodness-of-fit test for copulas in more than two dimensions. The test is based on pairs of variables and can thus be interpreted as a first-order approximation of the underlying dependence structure. The idea is to first transform pairs of data columns with the Rosenblatt transform to bivariate standard uniform distributions under the null hypothesis. This hypothesis can be graphically tested with a matrix of bivariate scatterplots, Q-Q plots, or other transformations. Furthermore, additional information can be encoded as background color, such as measures of association or (approximate) p-values of tests of independence. The proposed goodness-of-fit test is designed as a basic graphical tool for detecting deviations from a postulated, possibly high-dimensional, dependence model. Various examples are given and the methodology is applied to a financial dataset. An implementation is provided by the R package copula. Supplementary material for this article is available online, which provides the R package copula and reproduces all the graphical results of this article. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Computational and Graphical Statistics | - |
dc.subject | Copulas | - |
dc.subject | Rosenblatt transform | - |
dc.subject | Test for bivariate independence | - |
dc.title | A Graphical Goodness-of-Fit Test for Dependence Models in Higher Dimensions | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1080/10618600.2013.812518 | - |
dc.identifier.scopus | eid_2-s2.0-84925936146 | - |
dc.identifier.volume | 23 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 700 | - |
dc.identifier.epage | 716 | - |
dc.identifier.eissn | 1537-2715 | - |
dc.identifier.isi | WOS:000338205400006 | - |