Nonparametric rank-based tests of bivariate extreme-value dependence

DOI10.1016/J.JMVA.2010.05.004MaRDI QIDQ990906zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ranksmultiplier central limit theorempseudo-observationscontiguityextreme-value copulaslocal power comparisons

Mathematics Subject Classification ID

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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Cites work

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• Construction of asymmetric multivariate copulas
• Large-sample tests of extreme-value dependence for multivariate copulas
• Local efficiency of a Cramér\,-\,von Mises test of independence
• Local power analysis of goodness-of-fit tests for copulas
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• Nonparametric estimation of an extreme-value copula in arbitrary dimensions
• Nonparametric estimation of multivariate extreme-value copulas
• On Pickands coordinates in arbitrary dimensions
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Rank-based inference for bivariate extreme-value copulas
• Semiparametric estimation in copula models
• Structure de dépendance des lois de valeurs extrêmes bivariées
• Testing for equality between two copulas
• The oscillation behavior of empirical processes: The multivariate case
• Understanding Relationships Using Copulas
• Weak convergence of empirical copula processes

Cited in

(26)

• On nonparametric tests of multivariate meta-ellipticity
• Rank-based inference for bivariate extreme-value copulas
• Nonparametric tests for tail monotonicity
• A moment-based test for extreme-value dependence
• Graphical and formal statistical tools for the symmetry of bivariate copulas
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
• On the tail dependence in bivariate hydrological frequency analysis
• A modeler's guide to extreme value software
• Optimal rank-based tests against first-order superdiagonal bilinear dependence
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• Weighted estimation of the dependence function for an extreme-value distribution
• Nonparametric estimation of multivariate extreme-value copulas
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• Testing for bivariate extreme dependence using Kendall's process
• Testing extreme value copulas to estimate the quantile
• Discussion: Statistical models and methods for dependence in insurance data
• A general framework for testing homogeneity hypotheses about copulas
• Using B-splines for nonparametric inference on bivariate extreme-value copulas
• Some copula inference procedures adapted to the presence of ties
• Regular score tests of independence in multivariate extreme values
• A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
• An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures
• New estimators of the Pickands dependence function and a test for extreme-value dependence
• Large-sample tests of extreme-value dependence for multivariate copulas
• Rejoinder: Statistical models and methods for dependence in insurance data
• Nonparametric inference for max-stable dependence

Describes a project that uses

Uses Software

• copula
• TwoCop
• copula

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