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Aspects of copulas and goodness-of-fit
Thesis (MComm (Statistics and Actuarial Science))--Stellenbosch University, 2008.
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| Format: | Thesis |
| Language: | English |
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Stellenbosch : Stellenbosch University
2008
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| _version_ | 1867613891573317632 |
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| access_status_str | Open Access |
| author | Kpanzou, Tchilabalo Abozou |
| author2 | De Wet, Tertius |
| author_browse | De Wet, Tertius Kpanzou, Tchilabalo Abozou |
| author_facet | De Wet, Tertius Kpanzou, Tchilabalo Abozou |
| author_sort | Kpanzou, Tchilabalo Abozou |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch University |
| description | Thesis (MComm (Statistics and Actuarial Science))--Stellenbosch University, 2008. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/3298 |
| institution | Stellenbosch University (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:43:20.403Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2008 |
| publishDateRange | 2008 |
| publishDateSort | 2008 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/3298 Aspects of copulas and goodness-of-fit Kpanzou, Tchilabalo Abozou De Wet, Tertius Stellenbosch University. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science. Goodness-of-fit tests Copulas (Mathematical statistics) Test statistic Power of a test Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Thesis (MComm (Statistics and Actuarial Science))--Stellenbosch University, 2008. The goodness-of- t of a statistical model describes how well it ts a set of observations. Measures of goodness-of- t typically summarize the discrepancy between observed values and the values expected under the model in question. Such measures can be used in statistical hypothesis testing, for example to test for normality, to test whether two samples are drawn from identical distributions, or whether outcome frequencies follow a speci ed distribution. Goodness-of- t for copulas is a special case of the more general problem of testing multivariate models, but is complicated due to the di culty of specifying marginal distributions. In this thesis, the goodness-of- t test statistics for general distributions and the tests for copulas are investigated, but prior to that an understanding of copulas and their properties is developed. In fact copulas are useful tools for understanding relationships among multivariate variables, and are important tools for describing the dependence structure between random variables. Several univariate, bivariate and multivariate test statistics are investigated, the emphasis being on tests for normality. Among goodness-of- t tests for copulas, tests based on the probability integral transform, Rosenblatt's transformation, as well as some dimension reduction techniques are considered. Bootstrap procedures are also described. Simulation studies are conducted to rst compare the power of rejection of the null hypothesis of the Clayton copula by four di erent test statistics under the alternative of the Gumbel-Hougaard copula, and also to compare the power of rejection of the null hypothesis of the Gumbel-Hougaard copula under the alternative of the Clayton copula. An application of the described techniques is made to a practical data set. Masters 2008-11-25T08:24:58Z 2010-07-09T11:07:16Z 2008-11-25T08:24:58Z 2010-07-09T11:07:16Z 2008-12 Thesis http://hdl.handle.net/10019.1/3298 en Stellenbosch University application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Goodness-of-fit tests Copulas (Mathematical statistics) Test statistic Power of a test Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science Kpanzou, Tchilabalo Abozou Aspects of copulas and goodness-of-fit |
| title | Aspects of copulas and goodness-of-fit |
| title_full | Aspects of copulas and goodness-of-fit |
| title_fullStr | Aspects of copulas and goodness-of-fit |
| title_full_unstemmed | Aspects of copulas and goodness-of-fit |
| title_short | Aspects of copulas and goodness-of-fit |
| title_sort | aspects of copulas and goodness of fit |
| topic | Goodness-of-fit tests Copulas (Mathematical statistics) Test statistic Power of a test Dissertations -- Statistics and actuarial science Theses -- Statistics and actuarial science |
| url | http://hdl.handle.net/10019.1/3298 |
| work_keys_str_mv | AT kpanzoutchilabaloabozou aspectsofcopulasandgoodnessoffit |