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

DOI10.1007/S00184-006-0114-3zbMATH Open1433.62151OpenAlexW1982268668MaRDI QIDQ745540FDOQ745540

Authors: Friedrich Schmid, Rafael Schmidt 

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

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zbMATH Keywords

copulaasymptotic normalityasymptotic efficiencyempirical copulatail dependenceBlomqvist's beta

Mathematics Subject Classification ID

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

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Cited In (30)

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

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