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

被引：29

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

页码：534 / 552

页数：19

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