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Multivariate nonparametric tests of independence

Taskinen, Sara; Oja, Hannu; Randles, Ronald H. - In: Journal of the American Statistical Association : JASA 100 (2005) 471, pp. 916-925

Persistent link: https://www.econbiz.de/10003107800

Essays on specification tests for smooth structural changes and time series conditional distribution models

Chen, Bin - 2007

Persistent link: https://www.econbiz.de/10009693136

Nichtparametrische Inferenz für Copulas : quantitative Risikoanalysen für den deutschen Finanzmarkt

Dobrić, Jadran - 2008

Persistent link: https://www.econbiz.de/10003751715

A multivariate linear rank test of independence based on a multiparametric copula with cubic sections

Mangold, Benedikt - 2015

This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and Isabel (1998) and Genest et al. (2006) to p dimensions and introduces a new X2-type test for global independence (Nelsen test). The test is compared to similar nonparametric tests...

Persistent link: https://www.econbiz.de/10011333620