Resumo

GUARIN-ESCUDERO, Julieth V.; JARAMILLO-ELORZA, Mario C.  e  LOPERA-GOMEZ, Carlos M.. A comparison of two graphical methods for detecting dependence. Ciencia en Desarrollo [online]. 2018, vol.9, n.1, pp.71-88. ISSN 0121-7488.

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 a first step before modeling phenomena through copulas is to assess whether there is dependence among the variables involved. In this paper some graphical methods to detect dependence are discussed and their performance will be evaluated through a simulation study. An application of graphical methods presented to insurance data is illustrated.

Palavras-chave : Copula; graphics; dependence.

        · resumo em Espanhol     · texto em Inglês     · Inglês ( pdf )