A Non-parametric Test of Exchangeability for Extreme-Value and Left-Tail Decreasing Bivariate Copulas

DOI10.1111/j.1467-9469.2011.00772.xzbMath1323.62035MaRDI QIDQ2914947

Jun Yan, Ivan Kojadinovic

Publication date: 21 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2011.00772.x

zbMATH Keywords

ranks; Pickands dependence function; multiplier central limit theorem; non-parametric estimation

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62G20: Asymptotic properties of nonparametric inference

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62G32: Statistics of extreme values; tail inference

62G09: Nonparametric statistical resampling methods

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Uses Software

• copula

Cites Work

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