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Testing for Bivariate Extreme Dependence Using Kendall's Process

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  • JEAN-FRANÇOIS QUESSY

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  • Jean-François Quessy, 2012. "Testing for Bivariate Extreme Dependence Using Kendall's Process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(3), pages 497-514, September.
    • Handle: RePEc:bla:scjsta:v:39:y:2012:i:3:p:497-514
    DOI: j.1467-9469.2011.00739.x
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    Cited by:

    1. Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01592147, HAL.
    2. Durante, Fabrizio & Okhrin, Ostap, 2014. "Estimation procedures for exchangeable Marshall copulas with hydrological application," SFB 649 Discussion Papers 2014-014, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Yeting Du & Johanna Nešlehová, 2013. "A moment-based test for extreme-value dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(5), pages 673-695, July.
    4. repec:hum:wpaper:sfb649dp2014-014 is not listed on IDEAS
    5. Quessy, Jean-François & Éthier, François, 2012. "Cramér–von Mises and characteristic function tests for the two and k-sample problems with dependent data," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2097-2111.

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