Testing asymptotic independence in bivariate extremes

DOI10.1016/J.JSPI.2008.06.003MaRDI QIDQ1007480zbMATHOpenAlexFDO

Authors Deyuan Li, J. 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

testingasymptotic independenceextremesextreme value distributionsbivariate random vectors

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• scientific article; zbMATH DE number 272681 (Why is no real title available?)
• Approximations to the tail empirical distribution function with application to testing extreme value conditions
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Bivariate tail estimation: dependence in asymptotic independence
• Concomitant tail behaviour for extremes
• Cramer-von mises-type tests with applications to tests of independence for multivariate extreme-value distributions
• Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
• On testing extreme value conditions
• Poisson and Gaussian approximation of weighted local empirical processes
• Statistics for near independence in multivariate extreme values
• Testing extreme value conditions
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition

Cited in

(20)

• Inference for asymptotically independent samples of extremes
• Generalized Pareto copulas: a key to multivariate extremes
• Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
• Testing for tail independence in extreme value models
• Testing the tail-dependence based on the radial component
• Estimation of Pickands dependence function of bivariate extremes under mixing conditions
• 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
• scientific article; zbMATH DE number 3888728 (Why is no real title available?)
• Permutation test of tail dependence
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• A robust test for asymptotic independence of bivariate extremes
• Conditional tail independence in Archimedean copula models
• Bilinear form test statistics for extremum estimation
• Measuring asymptotic dependence of extremes and tests based on tail indexes
• Testing for bivariate extreme dependence using Kendall's process
• Tail dependence measure for examining financial extreme co-movements
• Regression-type analysis for multivariate extreme values
• Multivariate extreme value theory -- a tutorial

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