Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition

DOI10.1214/009053606000000434zbMath1246.60051arXivmath/0611370OpenAlexW2762408436MaRDI QIDQ449961

Deyuan Li, Laurens De Haan, John H. J. Einmahl

Publication date: 3 September 2012

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

Full work available at URL: https://arxiv.org/abs/math/0611370

zbMATH Keywords

weighted approximationgoodness-of-fit testbivariate extreme value theorydependence structuretail copula process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Order statistics; empirical distribution functions (62G30) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

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Cites Work

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• On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter
• Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution

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