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

DOI10.1007/S00184-006-0114-3MaRDI QIDQ745540zbMATHOpenAlexFDO

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

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

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• Validation of association
• Detecting departures from meta-ellipticity for multivariate stationary time series
• On nonparametric tests of multivariate meta-ellipticity
• Binary distributions of concentric rings
• Multivariate medial correlation with applications
• Computation and estimation of reliability for some bivariate copulas with Pareto marginals
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• On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity
• Asymptotics for Kotz type III elliptical distributions
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• Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ
• A multivariate version of Hoeffding's phi-square
• Applications and asymptotic power of marginal-free tests of stochastic vectorial independence

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