Nonparametric rank-based tests of bivariate extreme-value dependence
DOI10.1016/J.JMVA.2010.05.004zbMATH Open1201.62056OpenAlexW2091111644MaRDI QIDQ990906FDOQ990906
Authors: Ivan Kojadinovic, Jun Yan 
Publication date: 1 September 2010
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2010.05.004
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ranksmultiplier central limit theorempseudo-observationscontiguityextreme-value copulaslocal power comparisons
Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Monte Carlo methods (65C05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15)
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Cited In (21)
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
- A moment-based test for extreme-value dependence
- A modeler's guide to extreme value software
- Some copula inference procedures adapted to the presence of ties
- Rejoinder: Statistical models and methods for dependence in insurance data
- Nonparametric inference for max-stable dependence
- On the tail dependence in bivariate hydrological frequency analysis
- Using B-splines for nonparametric inference on bivariate extreme-value copulas
- On nonparametric tests of multivariate meta-ellipticity
- Graphical and formal statistical tools for the symmetry of bivariate copulas
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Nonparametric estimation of multivariate extreme-value copulas
- Testing for bivariate extreme dependence using Kendall's process
- A general framework for testing homogeneity hypotheses about copulas
- Regular score tests of independence in multivariate extreme values
- New estimators of the Pickands dependence function and a test for extreme-value dependence
- Rank-based inference for bivariate extreme-value copulas
- Optimal rank-based tests against first-order superdiagonal bilinear dependence
- Discussion: Statistical models and methods for dependence in insurance data
- Weighted estimation of the dependence function for an extreme-value distribution
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