Testing for Bivariate Extreme Dependence Using Kendall's Process

DOI10.1111/j.1467-9469.2011.00739.xzbMath1323.62050OpenAlexW2118235063MaRDI QIDQ2914948

Jean-François Quessy

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.1467-9469.2011.00739.x

zbMATH Keywords

copulamultiplier central limit theoremKendall's processasymptotic local powerextreme-value dependence

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32)

Related Items

A general framework for testing homogeneity hypotheses about copulas ⋮ A moment-based test for extreme-value dependence ⋮ Cramér-von Mises and characteristic function tests for the two and \(k\)-sample problems with dependent data ⋮ A test for Archimedeanity in bivariate copula models ⋮ Using B-splines for nonparametric inference on bivariate extreme-value copulas ⋮ Graphical and formal statistical tools for the symmetry of bivariate copulas

Cites Work

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• On the multivariate probability integral transformation

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