A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
DOI10.1111/J.1467-9469.2011.00772.XzbMATH Open1323.62035OpenAlexW1939636831MaRDI QIDQ2914947FDOQ2914947
Authors: Ivan Kojadinovic, Jun Yan 
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
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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)
Cites Work
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- Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
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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
- Nonparametric inference for max-stable dependence
- Assessing bivariate tail non-exchangeable 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
- Testing exchangeability of copulas in arbitrary dimension
- Asymmetric copulas and their application in design of experiments
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
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