A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
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Publication:2914947
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Cites work
- scientific article; zbMATH DE number 3820920 (Why is no real title available?)
- scientific article; zbMATH DE number 193528 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A goodness-of-fit test for bivariate extreme-value copulas
- A kolmogorov-smirnov type test for positive quadrant dependence
- A nonparametric estimation procedure for bivariate extreme value copulas
- An introduction to copulas.
- Construction of asymmetric multivariate copulas
- Nonparametric rank-based tests of bivariate extreme-value dependence
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
- Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
- Rank-based inference for bivariate extreme-value copulas
- Testing for equality between two copulas
- Understanding Relationships Using Copulas
Cited in
(16)- Testing tail monotonicity by constrained copula estimation
- Some copula inference procedures adapted to the presence of ties
- Nonparametric Identification of Copula Structures
- Nonparametric rank-based tests of bivariate extreme-value dependence
- Modeling influenza-like illness activity in the United States
- An order of asymmetry in copulas, and implications for risk management
- Nonparametric tests for tail monotonicity
- Assessing bivariate tail non-exchangeable dependence
- Nonparametric inference for max-stable dependence
- Tests of multivariate copula exchangeability based on Lévy measures
- On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau
- A class of multivariate copulas based on products of bivariate copulas
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
- Testing exchangeability of copulas in arbitrary dimension
- Asymmetric copulas and their application in design of experiments
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