Testing the tail-dependence based on the radial component
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Publication:1003303
DOI10.1007/s10687-007-0037-zzbMath1157.62029MaRDI QIDQ1003303
Edgar Kaufmann, Melanie Frick, Rolf-Dieter Reiss
Publication date: 28 February 2009
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-007-0037-z
Pickands dependence function; bivariate generalized Pareto distribution; uniformly most powerful Neyman-Pearson test
62G10: Nonparametric hypothesis testing
62E20: Asymptotic distribution theory in statistics
62G32: Statistics of extreme values; tail inference
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