A moment-based test for extreme-value dependence

DOI10.1007/s00184-012-0410-zzbMath1307.62150OpenAlexW2034067380MaRDI QIDQ2392731

Yeting Du, Johanna G. Nešlehová

Publication date: 2 August 2013

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-012-0410-z

zbMATH Keywords

Kendall's tau\(U\)-statisticextreme-value copulaGhoudi-Khoudraji-Rivest testKendall's distributiontest of extremeness

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Hypothesis testing in multivariate analysis (62H15) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items

Copula modeling from Abe Sklar to the present day ⋮ Using B-splines for nonparametric inference on bivariate extreme-value copulas

Cites Work

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• Asymptotic Statistics
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Structure de dépendance des lois de valeurs extrêmes bivariées

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