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Copula modeling for data with ties

本站小编 Free考研/2020-04-17

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Copula modeling for data with ties
文献类型:期刊
通讯作者:Li, Y (reprint author), Renmin Univ China, Sch Stat, Ctr Appl Stat, Beijing, Peoples R China.
期刊名称:STATISTICS AND ITS INTERFACE影响因子和分区
年:2020
卷:13
期:1
页码:103-117
ISSN:1938-7989
关键词:Interval censored data; Multivariate distribution; Pseudo-observations; Rank-based method
所属部门:统计学院
摘要:Tied observations in copula modeling may cause serious problems to rank-based inference methods that are intended for data with no ties. Simple methods such as breaking the ties at random or using midrank could lead to bias in estimation and invalidity in naive bootstrap inferences. We propose to treat the ranks of tied observations as being interval censored and estimate the copula parameters by maximizing a pseudo-likelihood based on interval censored pseudo-observations. A parametric bootstra ...More
Tied observations in copula modeling may cause serious problems to rank-based inference methods that are intended for data with no ties. Simple methods such as breaking the ties at random or using midrank could lead to bias in estimation and invalidity in naive bootstrap inferences. We propose to treat the ranks of tied observations as being interval censored and estimate the copula parameters by maximizing a pseudo-likelihood based on interval censored pseudo-observations. A parametric bootstrap procedure that preserves the tied ranks in the observed data is adapted to do interval estimation and goodness-of-fit test. The proposed approach is shown to be very competitive in comparison to the simple treatments in a large scale simulation study. The utility of the method is illustrated in real data examples. ...Hide

DOI:10.4310/SII.2020.v13.n1.a9
百度学术:Copula modeling for data with ties
语言:外文
基金:NSFNational Science Foundation (NSF) [DMS 1521730]; National Natural Science Foundation of ChinaNational Natural Science Foundation of China [71771211]
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