A goodness-of-fit test for bivariate extreme-value copulas

DOI10.3150/10-BEJ279zbMath1284.62331arXiv1102.2078MaRDI QIDQ637100

Christian Genest, Jun Yan, Ivan Kojadinovic, Johanna G. Nešlehová

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1102.2078

zbMATH Keywords

Pickands dependence function; goodness of fit; parametric bootstrap; extreme-value copula; rank-based inference

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62H15: Hypothesis testing in multivariate analysis

62F10: Point estimation

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62F40: Bootstrap, jackknife and other resampling methods

Uses Software

• copula
• QRM
• copula