Testing tail monotonicity by constrained copula estimation

DOI10.1016/j.insmatheco.2013.01.006zbMath1284.62313OpenAlexW2069364735MaRDI QIDQ2442534

Dominik Sznajder, Irène Gijbels

Publication date: 3 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.01.006

zbMATH Keywords

resamplingtesting hypothesisnonparametric copula estimationconstrained copula estimationtail monotonicity

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (6)

A Test for Truncation Invariant Dependence ⋮ When copulas and smoothing met: an interview with Irène Gijbels ⋮ Nonparametric tests for tail monotonicity ⋮ Validation of positive quadrant dependence ⋮ Truncation invariant copulas and a testing procedure ⋮ ROBUSTIFIED EXPECTED MAXIMUM PRODUCTION FRONTIERS

Uses Software

• coneproj

Cites Work

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