Testing for bivariate extreme dependence using Kendall's process
DOI10.1111/J.1467-9469.2011.00739.XzbMATH Open1323.62050OpenAlexW2118235063MaRDI QIDQ2914948FDOQ2914948
Authors: 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
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copulamultiplier central limit theoremasymptotic local powerKendall's processextreme-value dependence
Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Hypothesis testing in multivariate analysis (62H15)
Cites Work
- An introduction to copulas.
- Rank-based inference for bivariate extreme-value copulas
- Testing for equality between two copulas
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- A kolmogorov-smirnov type test for positive quadrant dependence
- A note on bootstrap approximations for the empirical copula process
- On Kendall's process
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Local power analysis of goodness-of-fit tests for copulas
- On a new goodness-of-fit process for families of copulas
- Bivariate extreme value theory: Models and estimation
- Kendall distribution functions.
- On the multivariate probability integral transformation
- A characterization of Gumbel's family of extreme value distributions
- Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- Non-parametric estimators of multivariate extreme dependence functions
- A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
- A new family of symmetric bivariate copulas
Cited In (9)
- A moment-based test for extreme-value dependence
- A test for Archimedeanity in bivariate copula models
- Testing Kendall's τ for a large class of dependent sequences
- Large-sample tests of extreme-value dependence for multivariate copulas
- Cramér-von Mises and characteristic function tests for the two and \(k\)-sample problems with dependent data
- Using B-splines for nonparametric inference on bivariate extreme-value copulas
- Graphical and formal statistical tools for the symmetry of bivariate copulas
- A general framework for testing homogeneity hypotheses about copulas
- Regular score tests of independence in multivariate extreme values
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