Validation of association

DOI10.1016/J.INSMATHECO.2019.12.003MaRDI QIDQ2306090zbMATH OpenOpenAlexWikidataFDO

Authors Bogdan Ćmiel, Teresa Ledwina

Publication date 20 March 2020

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2019.12.003

zbMATH Keywords

copulacross-quantilogramindependence testingmeasure of dependencequantile dependence functionweighted statistics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites work

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• Weak convergence of the empirical copula process with respect to weighted metrics
• Weak convergence of the weighted empirical beta copula process

Cited in

(4)

• Measuring and testing for interval quantile dependence
• Visualizing association structure in bivariate copulas using new dependence function
• ODC and ROC curves, comparison curves and stochastic dominance
• Detecting dependence structure: visualization and inference

Describes a project that uses

Uses Software

• quantilogram

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