Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence

DOI10.1007/s00184-006-0114-3zbMath1433.62151OpenAlexW1982268668MaRDI QIDQ745540

Rafael Schmidt, Friedrich Schmid

Publication date: 14 October 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-006-0114-3

zbMATH Keywords

copulaasymptotic normalityasymptotic efficiencytail dependenceempirical copulaBlomqvist's beta

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (27)

Multivariate medial correlation with applications ⋮ Smooth bootstrapping of copula functionals ⋮ A simple non-parametric goodness-of-fit test for elliptical copulas ⋮ Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ ⋮ The essential dependence for a group of random vectors ⋮ A multivariate version of Hoeffding's phi-square ⋮ On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity ⋮ Computation and estimation of reliability for some bivariate copulas with Pareto marginals ⋮ Dependence measures for perturbations of copulas ⋮ Comparison of correlation-based measures of concordance in terms of asymptotic variance ⋮ Copula modeling from Abe Sklar to the present day ⋮ On the specification of multivariate association measures and their behaviour with increasing dimension ⋮ Detecting departures from meta-ellipticity for multivariate stationary time series ⋮ Binary distributions of concentric rings ⋮ Properties of hierarchical Archimedean copulas ⋮ On the covariance of the asymptotic empirical copula process ⋮ Canonical correlation analysis for elliptical copulas ⋮ Applications and asymptotic power of marginal-free tests of stochastic vectorial independence ⋮ COPICA -- independent component analysis via copula techniques ⋮ Copula-based dependence measures ⋮ Asymptotics for Kotz type III elliptical distributions ⋮ Validation of association ⋮ Quantile Association Regression Models ⋮ Lévy-frailty copulas ⋮ On nonparametric tests of multivariate meta-ellipticity ⋮ Tail dependence functions and vine copulas ⋮ Conditional empirical copula processes and generalized measures of association

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The meta-elliptical distributions with given marginals
• Bivariate extreme statistics. I
• An introduction to copulas.
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Asymptotic distributions of multivariate rank order statistics
• Asymptotic normality of multivariate linear rank statistics in the non- i.i.d. case
• Tail dependence for elliptically contoured distributions
• A new class of bivariate copulas.
• Weak convergence of empirical copula processes
• Multivariate concordance
• Weak convergence and empirical processes. With applications to statistics
• Multivariate versions of Blomqvist's beta and Spearman's footrule
• Estimating the tail-dependence coefficient: properties and pitfalls
• The performance of some correlation coefficients for a general bivariate distribution
• Non-parametric Estimation of Tail Dependence
• Some new parametric families of multivariate copulas
• Asymptotic Statistics
• Analyzing Bivariate Continuous Data Grouped into Categories Defined by Empirical Quantiles of Marginal Distributions
• Semiparametric estimation in copula models
• Orthant probabilities for the equicorrelated multivariate normal distribution
• Multivariate Nonparametric Tests of Independence
• On a Measure of Dependence Between two Random Variables

This page was built for publication: Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence