Tests of independence and randomness based on the empirical copula process
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Publication:2387481
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Cited in
(only showing first 100 items - show all)- Inference for asymptotically independent samples of extremes
- Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
- Asymptotic behavior of the empirical multilinear copula process under broad conditions
- Tests of serial independence for continuous multivariate time series based on a Möbius decomposition of the independence empirical copula process
- Diagnostic tests for innovations of ARMA models using empirical processes of residuals
- Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
- Forecasting time series with multivariate copulas
- A class of multivariate copulas based on products of bivariate copulas
- Nonparametric tests of independence between random vectors
- Tests of mutual or serial independence of random vectors with applications
- Serial independence tests for innovations of conditional mean and variance models
- Autocopulas: investigating the interdependence structure of stationary time series
- On coverage limits and deductibles for SAI loss severities
- A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions
- Empirical and sequential empirical copula processes under serial dependence
- Kendall's \(\mathcal W\) reconsidered
- Quantile spectral processes: asymptotic analysis and inference
- A distribution free test to detect general dependence between a response variable and a covariate in the presence of heteroscedastic treatment effects
- Weighted least-squares inference for multivariate copulas based on dependence coefficients
- The autodependogram: a graphical device to investigate serial dependences
- A method for constructing higher-dimensional copulas
- American-style options in jump-diffusion models: estimation and evaluation
- Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness
- Some new multivariate tests of independence
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- Local efficiency of a Cramér\,-\,von Mises test of independence
- A-dependence statistics for mutual and serial independence of categorical variables
- Multivariate conditional versions of Spearman's rho and related measures of tail dependence
- Asymptotic behavior of weighted multivariate Cramér-von Mises-type statistics under contiguous alternatives
- On testing for independence between the innovations of several time series
- Empirical copulas for consecutive survival data
- Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
- Locally most powerful rank tests of independence for copula models
- A New Test Procedure of Independence in Copula Models via χ2-Divergence
- On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data
- Semi-parametric copula-based models under non-stationarity
- General tests of conditional independence based on empirical processes indexed by functions
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Generalizing distance covariance to measure and test multivariate mutual dependence via complete and incomplete V-statistics
- Change detection for uncertain autoregressive dynamic models through nonparametric estimation
- Multivariate extensions of Spearman's rho and related statistics
- General tests of independence based on empirical processes indexed by functions
- Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
- Graphical tests of independence for general distributions
- Diagnostic tests for non-causal time series with infinite variance
- On testing equality of pairwise rank correlations in a multivariate random vector
- Statistical testing of covariate effects in conditional copula models
- Tests of serial dependence for multivariate time series with arbitrary distributions
- Statistical models and methods for dependence in insurance data
- Discussion of: Brownian distance covariance
- On the empirical multilinear copula process for count data
- Testing for Serial Independence: Beyond the Portmanteau Approach
- New two-sample tests based on the integrated empirical copula processes
- On the least squares estimation of multiple-regime threshold autoregressive models
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- Hierarchical clustering of continuous variables based on the empirical copula process and permutation linkages
- Empirical processes for infinite variance autoregressive models
- Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman's rho
- A Primer on Copulas for Count Data
- A multivariate version of Hoeffding's phi-square
- Applications and asymptotic power of marginal-free tests of stochastic vectorial independence
- Copula-based semiparametric models for multivariate time series
- Stat Trek. An interview with Christian Genest
- Estimating spatial quantile regression with functional coefficients: a robust semiparametric framework
- Spearman's footrule and Gini's gamma: a review with complements
- A review of copula models for economic time series
- IPCW approach for testing independence
- Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations
- Exact distribution under independence of the diagonal section of the empirical copula
- An independence test based on recurrence rates. An empirical study and applications to real data
- Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
- GSH dependence modeling with an application to risk management
- Measures of conditional dependence for nonlinearity, asymmetry and beyond
- On the weighted tests of independence based on Bernstein empirical copula
- Testing bivariate independence based on α -divergence by improved probit transformation method for copula density estimation
- Kernel-based measures of association
- Measurement error correction by exploiting gene-environment independence in family-based case control studies
- An independence test based on recurrence rates
- Copula modeling from Abe Sklar to the present day
- Tests of independence and randomness for arbitrary data using copula-based covariances
- The weighted characteristic function of the multivariate PIT: independence and goodness-of-fit tests
- Test of bivariate independence based on angular probability integral transform with emphasis on circular-circular and circular-linear data
- Stochastic hyperplane-based ranks and their use in multivariate portmanteau tests
- Empirical process of concomitants for partly categorial data and applications in statistics
- A note on testing independence by a copula-based order selection approach
- A Bayesian semiparametric Gaussian copula approach to a multivariate normality test
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
- New non-parametric tests for independence
- Nonparametric tests for independence: a review and comparative simulation study with an application to malnutrition data in India
- A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
- Additive models for conditional copulas
- New measure of the bivariate asymmetry
- Distributed testing on mutual independence of massive multivariate data
- Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski
- Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
- Independent block identification in multivariate time series
- Stochastic declustering of earthquakes with the spatiotemporal renewal ETAS model
- Optimal detection of weak positive latent dependence between two sequences of multiple tests
- Conditional independence testing via weighted partial copulas
- On the distribution of Gini’s rank association index
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