Testing for lower tail dependence in extreme value models

DOI10.1080/00949655.2019.1628232OpenAlexW2951883612WikidataQ127670044 ScholiaQ127670044MaRDI QIDQ5107473

Mohammad Bolbolian Ghalibaf

Publication date: 27 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2019.1628232

zbMATH Keywords

copula functionKolmogorov-Smirnov testAnderson-Darling testCramer-von Mises testlower tail dependencechi-square goodness-of-fit testextreme value modelFisher's \(\kappa\) test

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• CopulaModel

Cites Work

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• Bivariate extreme statistics. I
• An introduction to copulas.
• Effects of mis-specification in bivariate extreme value problems
• Multivariate concordance
• Testing for tail independence in extreme value models
• Estimating the tail-dependence coefficient: properties and pitfalls
• Dependence Modeling with Copulas
• Extreme Financial Risks
• A Test of Goodness of Fit

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