Testing asymptotic independence in bivariate extremes

DOI10.1016/J.JSPI.2008.06.003zbMath1156.62332OpenAlexW2155793103MaRDI QIDQ1007480

Deyuan Li, Juerg Hüsler

Publication date: 20 March 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.06.003

zbMATH Keywords

extreme value distributionstestingasymptotic independenceextremesbivariate random vectors

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (13)

On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures ⋮ Tail dependence measure for examining financial extreme co-movements ⋮ Inference for asymptotically independent samples of extremes ⋮ Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques ⋮ Exact tail asymptotics in bivariate scale mixture models ⋮ Multivariate extreme value theory -- a tutorial ⋮ Generalized Pareto copulas: a key to multivariate extremes ⋮ Testing the independence of maxima: from bivariate vectors to spatial extreme fields: asymptotic independence of extremes ⋮ On the residual dependence index of elliptical distributions ⋮ Review of testing issues in extremes: in honor of Professor Laurens de Haan ⋮ Conditional tail independence in Archimedean copula models ⋮ Estimation of Pickands dependence function of bivariate extremes under mixing conditions ⋮ Regression-type analysis for multivariate extreme values

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• Cramer-von mises-type tests with applications to tests of independence for multivariate extreme-value distributions
• Concomitant tail behaviour for extremes
• Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution

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