A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions

DOI10.1016/J.JSPI.2011.12.031MaRDI QIDQ434563zbMATHOpenAlexFDO

Authors Svetlana Litvinova, Mervyn J. Silvapulle

Publication date 16 July 2012

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2011.12.031

zbMATH Keywords

score testminimum distance\(L^{2}\) distancenon-regularnonstandard inferenceCramér-von Mises criterion

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistics of extreme values; tail inference (62G32) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Regular score tests of independence in multivariate extreme values
• Cramer-von mises-type tests with applications to tests of independence for multivariate extreme-value distributions
• Multivariate extreme value distribution and its Fisher information matrix
• A moment-based test for extreme-value dependence
• Testing for tail independence in extreme value models

Cites work

• scientific article; zbMATH DE number 3378414 (Why is no real title available?)
• An asymptotic decomposition for multivariate distribution-free tests of independence
• An introduction to statistical modeling of extreme values
• Approximating the critical values of Cramér-von Mises tests in general parametric conditional specifications
• Asymptotic Statistics
• Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
• Bivariate extreme value theory: Models and estimation
• Cramer-von mises-type tests with applications to tests of independence for multivariate extreme-value distributions
• Generalised weighted Cramer-von Mises distance estimators
• Generalized Cramér-von Mises goodness-of-fit tests for multivariate distributions
• Goodness-of-fit tests for copulas: A review and a power study
• Local efficiency of a Cramér\,-\,von Mises test of independence
• Minimum Distance Estimators for Location and Goodness of Fit
• Minimum mean squared estimation of location and scale parameters under misspecification of the model
• Non-finite Fisher information and homogeneity: an EM approach
• On a new goodness-of-fit process for families of copulas
• Positive quadrant dependence tests for copulas
• Regular score tests of independence in multivariate extreme values
• Simulating multivariate extreme value distributions of logistic type
• Statistics for near independence in multivariate extreme values
• Stochastic Limit Theory
• Testing for equality between two copulas
• Tests of independence and randomness based on the empirical copula process

Describes a project that uses

Uses Software

• ismev
• TwoCop

This page was built for publication: A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q434563)