Narrow search
Showing 1 - 10 of 613,342
Cover Image
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
Cover Image
Essays on specification tests for smooth structural changes and time series conditional distribution models
Chen, Bin - 2007
Persistent link: https://www.econbiz.de/10009693136
Cover Image
Nichtparametrische Inferenz für Copulas : quantitative Risikoanalysen für den deutschen Finanzmarkt
Dobrić, Jadran - 2008
Persistent link: https://www.econbiz.de/10003751715
Cover Image
Multivariate nonparametric tests of independence
Taskinen, Sara; Oja, Hannu; Randles, Ronald H. - In: Journal of the American Statistical Association : JASA 100 (2005) 471, pp. 916-925
Persistent link: https://www.econbiz.de/10003107800
Cover Image
Contributions to static and time-varying copula-based modeling of multivariate association : with applications to financial time-series
Ruppert, Martin - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009511787
Cover Image
Comparing sequential forecasters
Choe, Yo Joong; Ramdas, Aaditya - In: Operations research 72 (2024) 4, pp. 1368-1387
Persistent link: https://www.econbiz.de/10015045380
Cover Image
Diagnostic tests based on quantile residuals for nonlinear time series models
Kalliovirta, Leena - 2009
Persistent link: https://www.econbiz.de/10003885269
Cover Image
Fitting high-dimensional copulae to data
Okhrin, Ostap - 2010
This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory …
Persistent link: https://www.econbiz.de/10003953039
Cover Image
On multivariate runs tests for randomness
Paindaveine, Davy - In: Journal of the American Statistical Association : JASA 104 (2009) 488, pp. 1525-1538
Persistent link: https://www.econbiz.de/10003993023
Cover Image
Multivariate statistical analysis
Domański, Czesław (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10008732055