Power of modifications of the Kolmogorov, Cramer-von Mises, Watson and Anderson-Darling tests for testing uniformity when limits are unknown is compared. Power is computed by Monte Carlo simulation within one-parameter families of alternative distributions containing the uniform distribution as...

The paper surveys various parametric Lorenz curves to be fitted to ground income data in order to obtain an estimate for the Gini measure of inequality. The curves are fitted to 16 sets of empirical income data. The results are compared to the results of the purely nonparametric method (due to...

The lower tail dependence λL is a measure that characterizes the tendency of extreme co-movements in the lower tails of a bivariate distribution. It is invariant with respect to strictly increasing transformations of the marginal distribution and is therefore a function of the copula of the...

A new family of conditional-dependence measures based on Spearman's rho is introduced. The corresponding multidimensional versions are established. Asymptotic distributional results are derived for related estimators which are based on the empirical copula. Particular emphasis is placed on a new...

This note investigates the structure of dominance relations in daily returns of 32 German assets during the 1990s. We focus on stochastic dominance of first, second and third order but mean-variance and mean-Gini dominance is also considered. Efficient (i. e., nondominated) sets of assets are...