Testing for tail independence in extreme value models

DOI10.1007/s10463-005-0016-6zbMath1095.62060OpenAlexW2170425763MaRDI QIDQ2502142

René Michel, Michael Falk

Publication date: 12 September 2006

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

Full work available at URL: https://doi.org/10.1007/s10463-005-0016-6

zbMATH Keywords

Pickands dependence functionKolmogorov-Smirnov testNeyman-Pearson testGeneralized Pareto distributionChi-square goodness-of-fit testBivariate extremesDifferentiable spectral neighborhoodFisher's \(\kappa\)Tail dependence parameterTail independence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Related Items (8)

Testing for lower tail dependence in extreme value models ⋮ Some notes on multivariate generalized Pareto distributions ⋮ Estimation of the angular density in bivariate generalized Pareto models ⋮ Multivariate extreme value theory -- a tutorial ⋮ Peaks-over-threshold stability of multivariate generalized Pareto distributions ⋮ Testing the independence of maxima: from bivariate vectors to spatial extreme fields: asymptotic independence of extremes ⋮ Testing the tail-dependence based on the radial component ⋮ Review of testing issues in extremes: in honor of Professor Laurens de Haan

Uses Software

• ismev

Cites Work

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