Goodness-of-fit test for tail copulas modeled by elliptical copulas

DOI10.1016/j.spl.2008.12.019zbMath1161.62031OpenAlexW2060623320MaRDI QIDQ1012111

Deyuan Li, Liang Peng

Publication date: 14 April 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.12.019

zbMATH Keywords

multivariate GARCH models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Asymptotic properties of parametric tests (62F05)

Related Items (10)

A simple non-parametric goodness-of-fit test for elliptical copulas ⋮ A method of moments estimator of tail dependence in meta-elliptical models ⋮ Exact tail asymptotics in bivariate scale mixture models ⋮ Statistical models and methods for dependence in insurance data ⋮ On the residual dependence index of elliptical distributions ⋮ On Pearson-Kotz Dirichlet distributions ⋮ Multivariate density estimation using dimension reducing information and tail flattening trans\-formations ⋮ Tail asymptotics under beta random scaling ⋮ Discussion: Statistical models and methods for dependence in insurance data ⋮ Nonparametric estimation of the conditional tail copula

Uses Software

• QRM

Cites Work

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• Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk
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