Teste grafico para o ajuste de copulas arquimedianas usando variaveis BIPIT : um estudo de simulação / Test chart for the adjustment Archimedean copulas using variables BIPIT : a study of simulation

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

The growing utilization of copulas to the dependency fitting of multi-variated data leads to the study of methodologies for copulas fitting. This study is recent, such as the complete utilization of the theory of copulas to standard fitting. Many of the existing methodologies are still in studies and only some have been recently validated. There is a need for easy-access mechanisms to detect dependency structures still missing in the statistical literature. It is presented in this dissertation a graphic method to the copulas fitting adapted from QQplot denominated Kendall Plot. This method is more complete than the QQplot due to the addition of confidence bands to the Kendall Plot graphic that allows the researcher to make a decision related to a fixed dependency structure, expressed by a copula, to be tested to the available sample. The reduction of the data dimension to a one-dimensional random variable, called BIPIT, which carries information about dependency data structure, allows the utilization of the QQplot adaptation for testing dependency structures

ASSUNTO(S)

kendall plot bipit q-qplot copulas teste de hipotese tau de kendall

ACESSO AO ARTIGO

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