Testing asymptotic independence in bivariate extremes

DOI10.1016/J.JSPI.2008.06.003zbMATH Open1156.62332OpenAlexW2155793103MaRDI QIDQ1007480FDOQ1007480

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)

Cites Work

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• Statistics for near independence in multivariate extreme values
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Concomitant tail behaviour for extremes
• Bivariate tail estimation: dependence in asymptotic independence
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
• Cramer-von mises-type tests with applications to tests of independence for multivariate extreme-value distributions
• On testing extreme value conditions
• Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
• Poisson and Gaussian approximation of weighted local empirical processes
• Testing extreme value conditions
• Approximations to the tail empirical distribution function with application to testing extreme value conditions

Cited In (19)

• Generalized Pareto copulas: a key to multivariate extremes
• On the residual dependence index of elliptical distributions
• Permutation test of tail dependence
• Title not available (Why is that?)
• A robust test for asymptotic independence of bivariate extremes
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Conditional tail independence in Archimedean copula models
• Tail dependence measure for examining financial extreme co-movements
• Multivariate extreme value theory -- a tutorial
• Exact tail asymptotics in bivariate scale mixture models
• Testing for tail independence in extreme value models
• Estimation of Pickands dependence function of bivariate extremes under mixing conditions
• Testing for bivariate extreme dependence using Kendall's process
• Inference for asymptotically independent samples of extremes
• Bilinear form test statistics for extremum estimation
• Testing the independence of maxima: from bivariate vectors to spatial extreme fields: asymptotic independence of extremes
• Review of testing issues in extremes: in honor of Professor Laurens de Haan
• Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
• Regression-type analysis for multivariate extreme values

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