Permutation test of tail dependence
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Publication:6580623
DOI10.1007/S10260-023-00723-ZzbMATH Open1541.62117MaRDI QIDQ6580623
Publication date: 29 July 2024
Published in: Statistical Methods and Applications (Search for Journal in Brave)
extreme value analysisasymptotic independencepermutation testtail independencetail dependence coefficientnear independence
Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32) Nonparametric statistical resampling methods (62G09)
Cites Work
- Title not available (Why is that?)
- Exact and asymptotically robust permutation tests
- Testing asymptotic independence in bivariate extremes
- Tails of multivariate Archimedean copulas
- Bootstrap and randomization tests of some nonparametric hypotheses
- How do bootstrap and permutation tests work?
- Bivariate tail estimation: dependence in asymptotic independence
- Estimation of the coefficient of tail dependence in bivariate extremes
- Exact testing with random permutations
- Testing for tail independence in extreme value models
- Risk management: Value at risk and beyond
- Extreme Financial Risks
- Non-parametric Estimation of Tail Dependence
- Statistics for near independence in multivariate extreme values
- Testing Statistical Hypotheses
- A Combinatorial Central Limit Theorem
- The Large-Sample Power of Tests Based on Permutations of Observations
- Dependence measures for extreme value analyses
- A directory of coefficients of tail dependence
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