Nonparametric tests for tail monotonicity

DOI10.1016/J.JECONOM.2014.03.005MaRDI QIDQ2451768zbMATH OpenOpenAlexFDO

Authors Betina Berghaus, Axel Bücher

Publication date 4 June 2014

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/30095

zbMATH Keywords

copulaleft tail decreasingmultiplier bootstraprankstail monotonicity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

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Cites work

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• Copula-based semiparametric models for multivariate time series
• Copulas and temporal dependence
• Distribution-free tests of stochastic monotonicity
• Empirical and sequential empirical copula processes under serial dependence
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• Some Concepts of Dependence
• Tapered block bootstrap
• Testing for equality between two copulas
• Testing for Stochastic Monotonicity
• Testing tail monotonicity by constrained copula estimation
• The jackknife and the bootstrap for general stationary observations
• Weak convergence and empirical processes. With applications to statistics
• Weak convergence of empirical copula processes

Cited in

(9)

• On testing for independence against right tail increasing in bivariate models
• Testing tail monotonicity by constrained copula estimation
• The co-occurrence test for non-monotonic inference
• Testing for Stochastic Monotonicity
• Distribution-free tests of stochastic monotonicity
• A test for truncation invariant dependence
• Permutation test of tail dependence
• A robust test for monotonicity in asset returns
• Tie-Break Bootstrap for Nonparametric Rank Statistics

Describes a project that uses

Uses Software

• TwoCop

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