Testing the tail-dependence based on the radial component

DOI10.1007/S10687-007-0037-ZzbMath1157.62029OpenAlexW1998419792MaRDI QIDQ1003303

Edgar Kaufmann, Melanie Frick, Rolf-Dieter Reiss

Publication date: 28 February 2009

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-007-0037-z

zbMATH Keywords

Pickands dependence functionbivariate generalized Pareto distributionuniformly most powerful Neyman-Pearson test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items (4)

Limiting distributions of maxima under triangular schemes ⋮ Testing the independence of maxima: from bivariate vectors to spatial extreme fields: asymptotic independence of extremes ⋮ Measures of multivariate asymptotic dependence and their relation to spectral expansions ⋮ Expansions of multivariate Pickands densities and testing the tail dependence

Cites Work

• Bivariate extreme statistics. I
• Testing for tail independence in extreme value models
• Statistics for near independence in multivariate extreme values
• Dependence measures for extreme value analyses
• A directory of coefficients of tail dependence
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