Testing for lower tail dependence in extreme value models

DOI10.1080/00949655.2019.1628232MaRDI QIDQ5107473zbMATH OpenOpenAlexWikidataFDO

Authors Mohammad Bolbolian Ghalibaf

Publication date 27 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2019.1628232

zbMATH Keywords

Anderson-Darling testchi-square goodness-of-fit testcopula functionCramer-von Mises testextreme value modelFisher's \(\kappa\) testKolmogorov-Smirnov testlower tail dependence

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Test of Goodness of Fit
• An introduction to copulas.
• Bivariate extreme statistics. I
• Dependence modeling with copulas
• Effects of mis-specification in bivariate extreme value problems
• Estimating the tail-dependence coefficient: properties and pitfalls
• Extreme Financial Risks
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• Multivariate concordance
• Testing for tail independence in extreme value models

Cited in

(3)

• Testing for tail independence in extreme value models
• scientific article; zbMATH DE number 3888728 (Why is no real title available?)
• Detecting a conditional extreme value model

Describes a project that uses

Uses Software

• CopulaModel

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