A new measure of asymmetry in dependence is proposed which is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial market data sample and we show that both...

The present paper proposes new tests for detecting structural breaks in the tail dependence of multivariate time series using the concept of tail copulas. To obtain asymptotic properties, we derive a new limit result for the sequential empirical tail copula process. Moreover, consistency of both...

In this note we present a direct and simple approach to obtain bounds on the asymptotic minimax risk for the estimation of restrained binominal and multinominal proportions. Quadratic, normalized quadratic and entropy loss are considered and it is demonstrated that in all cases linear estimators...

In a recent paper Lee and Na (2001) introduced a test for a parametric form of the distribution of the innovations in autoregressive models, which is based on the integrated squared error of the nonparametric density estimate from the residuals and a smoothed version of the parametric fit of the...