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Statistics Seminar Series
Thursday, Sept. 27, 2012, 4:00 PM
Cullimore, Room 611
New Jersey Institute of Technology
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Goodness-of-fit tests for Archimedean copula models
Antai Wang
Department of Biostatistics, Columbia University
Abstract
In this talk, we propose two tests for
parametric models belonging to the
Archimedean copula family, one for uncensored bivariate
data and the other one for right-censored bivariate data. Our test procedures are based on the Fisher transform of the correlation
coefficient of a bivariate (U, V), which is a one-to-one transform of the original
random pair (T1, T2) that
can be modeled by an Archimedean copula
model. A multiple imputation technique is applied to establish our test for censored data and its p-value is computed by combining test statistics obtained from multiply imputed data
sets. Simulation studies suggest that both
procedures perform well when the sample size is large. The test for censored data is carried out for
a medical data example.