Nonparametric Tests for Positive Quadrant Dependence

This papfer deals with distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent.

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Year of publication:	2001-03-01
Authors:	Denuit, Michel ; Scaillet, Olivier
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Risikomanagement \| risk management \| Stochastik \| Multivariate Analyse \| Nichtparametrisches Verfahren \| Verlustverteilung

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Table of Contents
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1. Introduction
2. Stochastic orderings
3. Skar´s representation for multivariate distributions
4. Dependence notions
5. Application of positive dependence notions
6. Empirical illustrations
7. Acknowledgements

Persistent link: https://www.econbiz.de/10005843307