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

DOI10.3150/10-BEJ279zbMath1284.62331arXiv1102.2078OpenAlexW2035745025MaRDI QIDQ637100

Ivan Kojadinovic, Christian Genest, Jun Yan, 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 functiongoodness of fitparametric bootstrapextreme-value copularank-based inference

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Hypothesis testing in multivariate analysis (62H15) Point estimation (62F10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (25)

Detecting breaks in the dependence of multivariate extreme-value distributions ⋮ An order of asymmetry in copulas, and implications for risk management ⋮ A Non-parametric Test of Exchangeability for Extreme-Value and Left-Tail Decreasing Bivariate Copulas ⋮ Some copula inference procedures adapted to the presence of ties ⋮ The limit distribution of weighted \(L^2\)-goodness-of-fit statistics under fixed alternatives, with applications ⋮ A Test for Truncation Invariant Dependence ⋮ Copula modeling from Abe Sklar to the present day ⋮ Erratum to ``Construction of asymmetric multivariate copulas ⋮ On the tail dependence in bivariate hydrological frequency analysis ⋮ In mixed company: Bayesian inference for bivariate conditional copula models with discrete and continuous outcomes ⋮ Nonparametric estimation of multivariate extreme-value copulas ⋮ Statistical models and methods for dependence in insurance data ⋮ Discussion: Statistical models and methods for dependence in insurance data ⋮ Unnamed Item ⋮ Extreme value copula estimation based on block maxima of a multivariate stationary time series ⋮ Assessing bivariate tail non-exchangeable dependence ⋮ New measure of the bivariate asymmetry ⋮ Nonparametric rank-based tests of bivariate extreme-value dependence ⋮ Goodness-of-fit test for specification of semiparametric copula dependence models ⋮ Nonparametric inference for max-stable dependence ⋮ Quantifying the risk using copulae with nonparametric marginals ⋮ Asymmetric Copulas and Their Application in Design of Experiments ⋮ Robust quantile estimation under bivariate extreme value models ⋮ Large-sample tests of extreme-value dependence for multivariate copulas ⋮ Statistical dependence: beyond Pearson's \(\rho\)

Uses Software

• copula
• QRM
• copula

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Goodness-of-fit tests for copulas: A review and a power study
• Nonparametric estimation of an extreme-value copula in arbitrary dimensions
• Comparison of three semiparametric methods for estimating dependence parameters in copula models
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• An introduction to copulas.
• Rank-based inference for bivariate extreme-value copulas
• Construction of asymmetric multivariate copulas
• Comparison of semiparametric and parametric methods for estimating copulas
• Asymptotic distributions of multivariate rank order statistics
• Fitting bivariate loss distributions with copulas
• Distribution and dependence-function estimation for bivariate extreme-value distributions.
• On Pickands coordinates in arbitrary dimensions
• Weak convergence and empirical processes. With applications to statistics
• Nonparametric estimation of the dependence function for a multivariate extreme value distribution
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• A nonparametric estimation procedure for bivariate extreme value copulas
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Structure de dépendance des lois de valeurs extrêmes bivariées
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Understanding Relationships Using Copulas
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• Nonparametric estimation of the dependence function in bivariate extreme value distributions

This page was built for publication: A goodness-of-fit test for bivariate extreme-value copulas