Graphical Methods For Detecting Dependence
Copulas have become a useful tool for modeling data when the dependence among random variables exists and the multivariate normality assumption is not fulfilled. The copulas have been applied in several fields. In finance, copulas are used in asset modeling and risk management. In biomedical stud...
| Main Authors: | , , |
|---|---|
| Format: | Online |
| Language: | eng |
| Published: |
Universidad Pedagógica y Tecnológica de Colombia
2018
|
| Subjects: | |
| Online Access: | https://revistas.uptc.edu.co/index.php/ciencia_en_desarrollo/article/view/5490 |
| _version_ | 1801706338163621888 |
|---|---|
| author | Guarín-Escudero, Julieth V. Jaramillo-Elorza, Mario C. Lopera-Gómez, Carlos M. |
| author_facet | Guarín-Escudero, Julieth V. Jaramillo-Elorza, Mario C. Lopera-Gómez, Carlos M. |
| author_sort | Guarín-Escudero, Julieth V. |
| collection | OJS |
| description |
Copulas have become a useful tool for modeling data when the dependence among random variables exists and the multivariate normality assumption is not fulfilled. The copulas have been applied in several fields. In finance, copulas are used in asset modeling and risk management. In biomedical studies, copulas are used to model correlated lifetimes and competitive risks [1]. In engineering, copulas are used in multivariate process control and hydrological modeling [2]. The interest in modeling multivariate problems involving dependent variables is generalized in several areas, making this methodology in a convenient way to model the dependence structure of random variables. However, in practice there is not a standard method for selecting a copula among several possible models, so that the choice of an appropriate copula is one of the greatest challenges facing the researcher. In this paper some graphical methods for detecting dependencies among random variables are discussed.
|
| format | Online |
| id | oai:oai.revistas.uptc.edu.co:article-5490 |
| institution | Revista Ciencia en Desarrollo |
| language | eng |
| publishDate | 2018 |
| publisher | Universidad Pedagógica y Tecnológica de Colombia |
| record_format | ojs |
| spelling | oai:oai.revistas.uptc.edu.co:article-54902022-06-15T17:05:04Z Graphical Methods For Detecting Dependence Una comparación de dos métodos gráficos para detectar dependencia Guarín-Escudero, Julieth V. Jaramillo-Elorza, Mario C. Lopera-Gómez, Carlos M. Copula gráficos Dependencia Copula graphics dependence Confiabilidad Copulas have become a useful tool for modeling data when the dependence among random variables exists and the multivariate normality assumption is not fulfilled. The copulas have been applied in several fields. In finance, copulas are used in asset modeling and risk management. In biomedical studies, copulas are used to model correlated lifetimes and competitive risks [1]. In engineering, copulas are used in multivariate process control and hydrological modeling [2]. The interest in modeling multivariate problems involving dependent variables is generalized in several areas, making this methodology in a convenient way to model the dependence structure of random variables. However, in practice there is not a standard method for selecting a copula among several possible models, so that the choice of an appropriate copula is one of the greatest challenges facing the researcher. In this paper some graphical methods for detecting dependencies among random variables are discussed. Las cópulas se han convertido en una herramienta útil para modelar datos cuando existe una dependencia entre las variables aleatorias y el supuesto de normalidad no se cumple. Las cópulas se han aplicado en diversos campos, tales como finanzas, estudios biomédicos y en ingeniería. El interés en modelar problemas multivariados que involucran variables dependientes se generaliza en diversas áreas, haciendo de esta metodología una forma conveniente para modelar la estructura de dependencia entre las variables aleatorias. Sin embargo, en la práctica un primer paso antes de empezar a modelar fenómenos mediante cópulas es evaluar si existe dependencia entre las variables involucradas y en qué grado. En este artículo algunos métodos gráficos para detectar dependencia son discutidos y el desempeño de los mismos se evaluará a través de un estudio de simulación. Se ilustran los métodos gráficos presentados mediante una aplicación a datos de seguros. Universidad Pedagógica y Tecnológica de Colombia 2018-02-06 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Gráfico y simulación application/pdf https://revistas.uptc.edu.co/index.php/ciencia_en_desarrollo/article/view/5490 10.19053/01217488.v9.n1.2018.5490 Ciencia En Desarrollo; Vol. 9 No. 1 (2018): Vol 9, Núm. 1 (2018): Enero - Junio; 71-88 Ciencia en Desarrollo; Vol. 9 Núm. 1 (2018): Vol 9, Núm. 1 (2018): Enero - Junio; 71-88 2462-7658 0121-7488 eng https://revistas.uptc.edu.co/index.php/ciencia_en_desarrollo/article/view/5490/pdf Derechos de autor 2018 CIENCIA EN DESARROLLO |
| spellingShingle | Copula gráficos Dependencia Copula graphics dependence Confiabilidad Guarín-Escudero, Julieth V. Jaramillo-Elorza, Mario C. Lopera-Gómez, Carlos M. Graphical Methods For Detecting Dependence |
| title | Graphical Methods For Detecting Dependence |
| title_alt | Una comparación de dos métodos gráficos para detectar dependencia |
| title_full | Graphical Methods For Detecting Dependence |
| title_fullStr | Graphical Methods For Detecting Dependence |
| title_full_unstemmed | Graphical Methods For Detecting Dependence |
| title_short | Graphical Methods For Detecting Dependence |
| title_sort | graphical methods for detecting dependence |
| topic | Copula gráficos Dependencia Copula graphics dependence Confiabilidad |
| topic_facet | Copula gráficos Dependencia Copula graphics dependence Confiabilidad |
| url | https://revistas.uptc.edu.co/index.php/ciencia_en_desarrollo/article/view/5490 |
| work_keys_str_mv | AT guarinescuderojuliethv graphicalmethodsfordetectingdependence AT jaramilloelorzamarioc graphicalmethodsfordetectingdependence AT loperagomezcarlosm graphicalmethodsfordetectingdependence AT guarinescuderojuliethv unacomparaciondedosmetodosgraficosparadetectardependencia AT jaramilloelorzamarioc unacomparaciondedosmetodosgraficosparadetectardependencia AT loperagomezcarlosm unacomparaciondedosmetodosgraficosparadetectardependencia |
