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Hypothesis tests with a repeatedly singular information matrix
Amengual, Dante; Bei, Xinyue; Sentana, Enrique - 2020
Persistent link: https://www.econbiz.de/10012210436
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Hypothesis tests with a repeatedly singular information matrix
Amengual, Dante; Bei, Xinyue; Sentana, Enrique - 2020
Persistent link: https://www.econbiz.de/10012208314
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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
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Validation of association
Ćmiel, Bogdan; Ledwina, Teresa - In: Insurance / Mathematics & economics 91 (2020), pp. 55-67
Persistent link: https://www.econbiz.de/10012241981
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The finite sample properties of sparse M-estimators with pseudo-observations
Poignard, Benjamin; Fermanian, Jean-David - 2019
Persistent link: https://www.econbiz.de/10012237251
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A statistical methodology for assessing the maximal strength of tail dependence
Sun, Ning; Yang, Chen; Zitikis, Ričardas - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 799-825
Persistent link: https://www.econbiz.de/10012307385
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Model-free bounds on Value-at-Risk using extreme value information and statistical distances
Lux, Thibaut; Papapantoleon, Antonis - In: Insurance / Mathematics & economics 86 (2019), pp. 73-83
Persistent link: https://www.econbiz.de/10012058825
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Tail risk inference via expectiles in heavy-tailed time series
Davison, Anthony C.; Padoan, Simone A.; Stupfler, Gilles - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 876-889
Persistent link: https://www.econbiz.de/10014448453
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On the density of generalised noncentral quadratic forms with applications to asymptotic expansions for test statistics
Bravo, Francesco - 2000
Persistent link: https://www.econbiz.de/10001527224
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Testing, encompassing and simulating dynamic econometric models
Gouriéroux, Christian; Monfort, Alain - 1992
Persistent link: https://www.econbiz.de/10000839361