A test for truncation invariant dependence

DOI10.1007/978-3-319-42972-4_22MaRDI QIDQ5348622zbMATH OpenOpenAlexFDO

Authors F. Marta L. Di Lascio, Fabrizio Durante, Piotr Jaworski

Publication date 18 August 2017

Published in Advances in Intelligent Systems and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-42972-4_22

zbMATH Keywords

asymptotic variancecopularandom samplesimulation studytruncation invariant dependence

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cites work

• A goodness-of-fit test for bivariate extreme-value copulas
• A test for Archimedeanity in bivariate copula models
• An overview of the goodness-of-fit test problem for copulas
• Goodness-of-fit tests for copulas: A review and a power study
• Invariant dependence structure under univariate truncation
• Invariant dependence structure under univariate truncation: the high-dimensional case
• Invariant dependence structures and Archimedean copulas
• Large-sample tests of extreme-value dependence for multivariate copulas
• New estimators of the Pickands dependence function and a test for extreme-value dependence
• Nonparametric tests for tail monotonicity
• Positive quadrant dependence tests for copulas
• Testing tail monotonicity by constrained copula estimation
• The limiting properties of copulas under univariate conditioning

Cited in

(4)

• On truncation invariant copulas and their estimation
• Testing the assumption of independence of truncation time and failure time
• scientific article; zbMATH DE number 871159 (Why is no real title available?)
• Truncation invariant copulas and a testing procedure

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