A Non-parametric Test of Exchangeability for Extreme-Value and Left-Tail Decreasing Bivariate Copulas

DOI10.1111/j.1467-9469.2011.00772.xzbMath1323.62035OpenAlexW1939636831MaRDI QIDQ2914947

Jun Yan, Ivan Kojadinovic

Publication date: 21 September 2012

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9469.2011.00772.x

zbMATH Keywords

ranksPickands dependence functionmultiplier central limit theoremnon-parametric estimation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)

Related Items

An order of asymmetry in copulas, and implications for risk management, Some copula inference procedures adapted to the presence of ties, Nonparametric Identification of Copula Structures, On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau, Modeling Influenza-Like Illness Activity in the United States, GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS, Nonparametric tests for tail monotonicity, Extreme value copula estimation based on block maxima of a multivariate stationary time series, A class of multivariate copulas based on products of bivariate copulas, Nonparametric rank-based tests of bivariate extreme-value dependence, Nonparametric inference for max-stable dependence, Asymmetric Copulas and Their Application in Design of Experiments

Uses Software

• copula

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A goodness-of-fit test for bivariate extreme-value copulas
• An introduction to copulas.
• Rank-based inference for bivariate extreme-value copulas
• Construction of asymmetric multivariate copulas
• Nonparametric rank-based tests of bivariate extreme-value dependence
• Testing for equality between two copulas
• On the limiting behavior of the Pickands estimator for bivariate extreme- value distributions
• On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
• A nonparametric estimation procedure for bivariate extreme value copulas
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Understanding Relationships Using Copulas
• A kolmogorov-smirnov type test for positive quadrant dependence