Asymptotically distribution-free goodness-of-fit testing for tail copulas

DOI10.1214/14-AOS1304zbMath1312.62072arXiv1504.00465OpenAlexW3106494938MaRDI QIDQ2343967

Sami Umut Can, John H. J. Einmahl, Roger J. A. Laeven, Estate V. Khmaladze

Publication date: 11 May 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.00465

zbMATH Keywords

extreme value theorytail dependencemartingale transformgoodness-of-fit testing

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32)

Related Items

Multiple block sizes and overlapping blocks for multivariate time series extremes, Two-Sample Testing for Tail Copulas with an Application to Equity Indices, Goodness-of-fit testing for copulas: a distribution-free approach, K-Sample Test for Equality of Copulas, A continuous updating weighted least squares estimator of tail dependence in high dimensions, A goodness-of-fit test for copulas based on martingale transformation, Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas, Goodness-of-fit testing the error distribution in multivariate indirect regression, Unnamed Item, Asymptotically distribution-free goodness-of-fit testing for tail copulas

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
• Goodness of fit problem and scanning innovation martingales
• An M-estimator for tail dependence in arbitrary dimensions
• Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing
• Distribution free goodness-of-fit tests for linear processes
• Topological algebras of functions of bounded variation. I
• Parametric tail copula estimation and model testing
• A method of moments estimator of tail dependence
• Goodness-of-fit problem for errors in nonparametric regression: distribution free approach
• An innovation approach to goodness-of-fit tests in \(R^ m\)
• Estimating the spectral measure of an extreme value distribution
• Model checks under random censorship
• Model checks for regression: an innovation process approach
• Martingale transforms goodness-of-fit tests in regression models.
• An omnibus test for independence of a survival time from a covariate
• Asymptotically distribution-free goodness-of-fit testing for tail copulas
• Estimating the limit distribution of multivariate extremes
• Limit theory for multivariate sample extremes
• Statistics of Extremes
• Multidimensional Variation for Quasi-Monte Carlo
• Inference on the Quantile Regression Process
• Quantile Autoregression