Testing for bivariate extreme dependence using Kendall's process

DOI10.1111/J.1467-9469.2011.00739.XMaRDI QIDQ2914948zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

copulamultiplier central limit theoremasymptotic local powerKendall's processextreme-value dependence

Mathematics Subject Classification ID

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

Recommendations

• Testing asymptotic independence in bivariate extremes
• Tests of serial independence based on Kendall's process
• A robust test for asymptotic independence of bivariate extremes
• A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models
• Testing for tail independence in extreme value models
• A moment-based test for extreme-value dependence
• Nonparametric rank-based tests of bivariate extreme-value dependence
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• Large-sample tests of extreme-value dependence for multivariate copulas

Cites work

• A bayesian estimator for the dependence function of a bivariate extreme‐value distribution
• A characterization of Gumbel's family of extreme value distributions
• A kolmogorov-smirnov type test for positive quadrant dependence
• A new family of symmetric bivariate copulas
• A note on bootstrap approximations for the empirical copula process
• An introduction to copulas.
• Bivariate extreme value theory: Models and estimation
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Kendall distribution functions.
• Local power analysis of goodness-of-fit tests for copulas
• Non-parametric estimators of multivariate extreme dependence functions
• On Kendall's process
• On a new goodness-of-fit process for families of copulas
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• On the multivariate probability integral transformation
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Rank-based inference for bivariate extreme-value copulas
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Testing for equality between two 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
• A general framework for testing homogeneity hypotheses about copulas
• Graphical and formal statistical tools for the symmetry of bivariate copulas
• Regular score tests of independence in multivariate extreme values

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