Testing for positive expectation dependence

DOI10.1007/S10463-014-0492-7MaRDI QIDQ5963706zbMATH OpenOpenAlexFDO

Authors Xuehu Zhu, Xu Guo, Lu Lin, Li-Xing Zhu

Publication date 23 February 2016

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-014-0492-7

zbMATH Keywords

expectation dependencenonparametric Monte Carlotest of Kolmogorov-Smirnov type

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A kolmogorov-smirnov type test for positive quadrant dependence
• Almost expectation and excess dependence notions
• Asset Proportions in Optimal Portfolios
• Consistent Tests for Stochastic Dominance
• Expectation dependence of random variables, with an application in portfolio theory
• scientific article; zbMATH DE number 51427 (Why is no real title available?)
• Nonparametric Monte Carlo tests and their applications.
• Nonparametric Monte Carlo tests for multivariate distributions
• Permutation tests for reflected symmetry
• Positive quadrant dependence testing and constrained copula estimation
• Positive quadrant dependence tests for copulas
• Testing for Concordance Ordering
• Testing for stochastic dominance efficiency
• The demand for a risky asset in the presence of a background risk
• Validation of positive quadrant dependence

Cited in

(12)

• Testing for more positive expectation dependence with application to model comparison
• Risk aversion with two risks: a theoretical extension
• Confidence band for expectation dependence with applications
• Validation of positive expectation dependence
• scientific article; zbMATH DE number 1895096 (Why is no real title available?)
• Testing for Positive Quadrant Dependence
• Continuous counterexamples for three dependence notions
• The lower regression function and testing expectation dependence dominance hypotheses
• Testing for auto-calibration with Lorenz and concentration curves
• Tests for independence against regression and expectation dependence
• Comparison of predictors' performance in insurance pricing: testing for Bregman dominance based on Murphy diagrams
• On testing the properties of directly obtained expectations data

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