Asymptotically distribution-free goodness-of-fit testing for tail copulas
From MaRDI portal
Publication:2343967
DOI10.1214/14-AOS1304zbMath1312.62072arXiv1504.00465MaRDI QIDQ2343967
Sami Umut Can, John H. J. Einmahl, Roger J. A. Laeven, Estate V. Khmaladze
Publication date: 11 May 2015
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.00465
62G10: Nonparametric hypothesis testing
62G20: Asymptotic properties of nonparametric inference
62F03: Parametric hypothesis testing
62H15: Hypothesis testing in multivariate analysis
62G32: Statistics of extreme values; tail inference
Related Items
Unnamed Item, Two-Sample Testing for Tail Copulas with an Application to Equity Indices, K-Sample Test for Equality of Copulas, A continuous updating weighted least squares estimator of tail dependence in high dimensions, Goodness-of-fit testing for copulas: a distribution-free approach, A goodness-of-fit test for copulas based on martingale transformation, Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas, Goodness-of-fit testing the error distribution in multivariate indirect regression, Asymptotically distribution-free goodness-of-fit testing for tail copulas, Multiple block sizes and overlapping blocks for multivariate time series extremes
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