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Articles 1 records found  
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14 p, 133.9 KB Testing extreme value copulas to estimate the quantile / Bahraoui, Zuhair (Universitat de Barcelona. Departament d'Econometria) ; Bolancé, Catalina (Universitat de Barcelona. Departament d'Econometria) ; Pérez-Marín, Ana M.. (Universitat de Barcelona)
We generalize the test proposed by Kojadinovic, Segers and Yan which is used for testing whether the data belongs to the family of extreme value copulas. We prove that the generalized test can be applied whatever the alternative hypothesis. [...]
2014
SORT : statistics and operations research transactions, Vol. 38, Núm. 1 (January-June 2014) , p. 89-102  
Detailed record - Creative Commons

Research literature 1 records found  
1.
31 p, 240.4 KB Testing extreme value copulas to estimate the quantile / Bahraou, Zuhair ; Bolancé, Catalina ; Pérez-Marín, Ana M.. ; Xarxa de Referència en Economia Aplicada (XREAP)
Testing weather or not data belongs could been generated by a family of extreme value copulas is difficult. We generalize a test and we prove that it can be applied whatever the alternative hypothesis. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2013 (XREAP ; 2013-09)  
Detailed record - Creative Commons

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