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We consider 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. Tests for its generalisation in higher dimensions, namely positive...
Persistent link: https://www.econbiz.de/10005771788
We propose inference tools to analyse the ordering of concordance of random vectors. The analysis in the bivariate case relies on tests for upper and lower quadrant dominance of the true distribution by a parametric or semiparametric model, i.e. for a parametric or semiparametric model to give a...
Persistent link: https://www.econbiz.de/10005771834
We consider a consistent test, that is similar to a Kolmogorov-Smirnov test, of the complete set of restrictions that relate to the copula representation of positive quadrant dependence. For such a test we propose and justify inference relying on a simulation based multiplier method and a...
Persistent link: https://www.econbiz.de/10005612063