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Two-sample testing for tail copulas with an application to equity indices

Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - 2021

Persistent link: https://www.econbiz.de/10012586114

Treatment of sample under-representation and skewed heavy-tailed distributions in survey-based microsimulation : an analysis of redistribution effects in compulsory health care ins...

Schoch, Tobias; Müller, André - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 14 (2020) 3/4, pp. 267-304

Persistent link: https://www.econbiz.de/10012606835

Two-Sample Testing for Tail Copulas with an Application to Equity Indices

Can, Sami; Einmahl, John H. J.; Laeven, Roger J. A. - 2021

A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using an ingenious transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to...

Persistent link: https://www.econbiz.de/10013220179

To Bridge, to Warp or to Wrap? A Comperative Study of Monte Carlo Methods for Efficient Evaluation of Marginal Likelihood

Ardia, David - 2015

use of importance sampling or the independence chain Metropolis-Hastings algorithm for posterior analysis. A comparative … appropriately yet quickly tuned candidate, straightforward importance sampling provides the most efficient estimator of the marginal …

Persistent link: https://www.econbiz.de/10012749869