On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence

被引：30
|
作者：
Ben Ghorbal, Noomen [2 ]
Genest, Christian [2 ]
Neslehova, Johanna [1 ]
机构：
[1] Swiss Fed Inst Technol, Dept Math, CH-8092 Zurich, Switzerland
[2] Univ Laval, Dept Math & Stat, Quebec City, PQ G1V 0A6, Canada
来源：
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE | 2009年 / 37卷 / 04期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Copula; extreme-value; jackknife; Kendall's tau; probability integral transformation; ranks; U-statistic; DISTRIBUTIONS; ESTIMATORS; INFERENCE; MODELS;
D O I：
10.1002/cjs.10034
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Ghoudi, Khoudraji & Rivest [The Canadian Journal of Statistics 1998;26:187-1971 showed how to test whether the dependence Structure of a pair of continuous random variables is characterized by an extreme-value copula. The test is based on a U-statistic whose finite- and large-sample variance are determined by the present authors. They propose estimates of this variance which they compare to the jackknife estimate of Ghoudi, Khoudraji & Rivest (1998) through simulations. They Study the finite-sample and asymptotic power of the test under various alternatives. The illustrate their approach using financial and geological data. The Canadian Journal of Statistics 37: 534-552; 2009 (C) 2009 Statistical Society of Canada
引用
收藏
页码：534 / 552
页数：19
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