Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit
Two goodness-of-fit tests for copulas are being investigated. The first one deals with the case of elliptical copulas and the second one deals with independent copulas. These tests result from the expansion of the projection pursuit methodology that we will introduce in the present article. This met...
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| Format: | Article |
| Language: | English |
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MDPI AG
2011-04-01
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| Series: | Algorithms |
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| Online Access: | http://www.mdpi.com/1999-4893/4/2/87/ |
| _version_ | 1831759043974135808 |
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| author | Jacques Touboul |
| author_facet | Jacques Touboul |
| author_sort | Jacques Touboul |
| collection | DOAJ |
| description | Two goodness-of-fit tests for copulas are being investigated. The first one deals with the case of elliptical copulas and the second one deals with independent copulas. These tests result from the expansion of the projection pursuit methodology that we will introduce in the present article. This method enables us to determine on which axis system these copulas lie as well as the exact value of these very copulas in the basis formed by the axes previously determined irrespective of their value in their canonical basis. Simulations are also presented as well as an application to real datasets. |
| first_indexed | 2024-12-22T00:59:14Z |
| format | Article |
| id | doaj.art-008140f40c6c45899a3b864a76b9cd99 |
| institution | Directory Open Access Journal |
| issn | 1999-4893 |
| language | English |
| last_indexed | 2024-12-22T00:59:14Z |
| publishDate | 2011-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Algorithms |
| spelling | doaj.art-008140f40c6c45899a3b864a76b9cd992022-12-21T18:44:13ZengMDPI AGAlgorithms1999-48932011-04-01428711410.3390/a4020087Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection PursuitJacques TouboulTwo goodness-of-fit tests for copulas are being investigated. The first one deals with the case of elliptical copulas and the second one deals with independent copulas. These tests result from the expansion of the projection pursuit methodology that we will introduce in the present article. This method enables us to determine on which axis system these copulas lie as well as the exact value of these very copulas in the basis formed by the axes previously determined irrespective of their value in their canonical basis. Simulations are also presented as well as an application to real datasets.http://www.mdpi.com/1999-4893/4/2/87/copulasgoodness-of-fitprojection pursuitelliptical distributions |
| spellingShingle | Jacques Touboul Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit Algorithms copulas goodness-of-fit projection pursuit elliptical distributions |
| title | Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit |
| title_full | Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit |
| title_fullStr | Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit |
| title_full_unstemmed | Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit |
| title_short | Goodness-of-Fit Tests For Elliptical and Independent Copulas through Projection Pursuit |
| title_sort | goodness of fit tests for elliptical and independent copulas through projection pursuit |
| topic | copulas goodness-of-fit projection pursuit elliptical distributions |
| url | http://www.mdpi.com/1999-4893/4/2/87/ |
| work_keys_str_mv | AT jacquestouboul goodnessoffittestsforellipticalandindependentcopulasthroughprojectionpursuit |