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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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Essays on specification tests for smooth structural changes and time series conditional distribution models
Chen, Bin - 2007
Persistent link: https://www.econbiz.de/10009693136
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Nichtparametrische Inferenz für Copulas : quantitative Risikoanalysen für den deutschen Finanzmarkt
Dobrić, Jadran - 2008
Persistent link: https://www.econbiz.de/10003751715
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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
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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
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A conditionally distribution-free multivariate sign test for one-sided alternatives
Larocque, Denis; Labarre, Mélanie - In: Journal of the American Statistical Association : JASA 99 (2004) 466, pp. 499-509
Persistent link: https://www.econbiz.de/10002096083
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Statistics for copula-based measures of multivariate association : theory and applications to financial data
Gaißer, Sandra Caterina - 2011
Persistent link: https://www.econbiz.de/10009125241
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Semiparametrically efficient tests of multivariate independence using center-outward quadrant, Spearman, and Kendall Statistics
Shi, Hongjian; Drton, Mathias; Hallin, Marc; Han, Fang - 2023
Persistent link: https://www.econbiz.de/10013550194
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Comparing sequential forecasters
Choe, Yo Joong; Ramdas, Aaditya - In: Operations research 72 (2024) 4, pp. 1368-1387
Persistent link: https://www.econbiz.de/10015045380
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Diagnostic tests based on quantile residuals for nonlinear time series models
Kalliovirta, Leena - 2009
Persistent link: https://www.econbiz.de/10003885269