A novel positive dependence property and its impact on a popular class of concordance measures
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jmva.2023.105259
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Genest, Christian & Nešlehová, Johanna G. & Rémillard, Bruno, 2017. "Asymptotic behavior of the empirical multilinear copula process under broad conditions," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 82-110.
- Müller, Alfred & Scarsini, Marco, 2005.
"Archimedean copulæ and positive dependence,"
Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 434-445, April.
- Alfred Müller & Marco Scarsini, 2003. "Archimedean Copulae and Positive Dependence," ICER Working Papers - Applied Mathematics Series 25-2003, ICER - International Centre for Economic Research.
- Marco Scarsini & Alfred Muller, 2005. "Archimedean copulae and positive dependence," Post-Print hal-00539618, HAL.
- Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
- George Kimeldorf & Allan Sampson, 1989. "A framework for positive dependence," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 41(1), pages 31-45, March.
- Holger Dette & Karl F. Siburg & Pavel A. Stoimenov, 2013. "A Copula-Based Non-parametric Measure of Regression Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(1), pages 21-41, March.
- Avérous, Jean & Genest, Christian & C. Kochar, Subhash, 2005. "On the dependence structure of order statistics," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 159-171, May.
- Bücher, Axel & Dette, Holger, 2010. "A note on bootstrap approximations for the empirical copula process," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1925-1932, December.
- Edwards, H.H. & Taylor, M.D., 2009. "Characterizations of degree one bivariate measures of concordance," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1777-1791, September.
- Rémillard, Bruno & Scaillet, Olivier, 2009.
"Testing for equality between two copulas,"
Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
- Bruno Rémillard & Olivier Scaillet, 2007. "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series 07-24, Swiss Finance Institute.
- Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of an extreme-value copula in arbitrary dimensions," LIDAM Reprints ISBA 2011003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Segers, Johan, 2012. "Asymptotics of empirical copula processes under non-restrictive smoothness assumptions," LIDAM Reprints ISBA 2012009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Pérez, Ana & Prieto-Alaiz, Mercedes, 2016. "A note on nonparametric estimation of copula-based multivariate extensions of Spearman’s rho," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 41-50.
- Vaart,A. W. van der, 2000. "Asymptotic Statistics," Cambridge Books, Cambridge University Press, number 9780521784504, October.
- Gudendorf, Gordon & Segers, Johan, 2011. "Nonparametric estimation of multivariate extreme-value copulas," LIDAM Discussion Papers ISBA 2011018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Xiaolin Luo & Pavel V. Shevchenko, 2007. "The t copula with Multiple Parameters of Degrees of Freedom: Bivariate Characteristics and Application to Risk Management," Papers 0710.3959, arXiv.org, revised Feb 2010.
- Manuela Schreyer & Roland Paulin & Wolfgang Trutschnig, 2017. "On the exact region determined by Kendall's τ and Spearman's ρ," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 613-633, March.
- Xiaolin Luo & Pavel Shevchenko, 2010. "The t copula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management," Quantitative Finance, Taylor & Francis Journals, vol. 10(9), pages 1039-1054.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kojadinovic, Ivan & Stemikovskaya, Kristina, 2019. "Subsampling (weighted smooth) empirical copula processes," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 704-723.
- Kiriliouk, Anna & Segers, Johan & Tsukahara, Hideatsu, 2019. "On Some Resampling Procedures with the Empirical Beta Copula," LIDAM Discussion Papers ISBA 2019012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Christian Genest & Johanna Nešlehová, 2014. "On tests of radial symmetry for bivariate copulas," Statistical Papers, Springer, vol. 55(4), pages 1107-1119, November.
- Bucher, Axel & Segers, Johan, 2013. "Extreme value copula estimation based on block maxima of a multivariate stationary time series," LIDAM Discussion Papers ISBA 2013049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
- Christian Genest & Johanna Nešlehová & Jean-François Quessy, 2012. "Tests of symmetry for bivariate copulas," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(4), pages 811-834, August.
- Bianchi, Pascal & Elgui, Kevin & Portier, François, 2023. "Conditional independence testing via weighted partial copulas," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
- Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2013. "Detecting changes in cross-sectional dependence in multivariate time series," LIDAM Discussion Papers ISBA 2013051, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bücher, Axel & Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2014. "Detecting changes in cross-sectional dependence in multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 111-128.
- Beare, Brendan K. & Seo, Juwon, 2020.
"Randomization Tests Of Copula Symmetry,"
Econometric Theory, Cambridge University Press, vol. 36(6), pages 1025-1063, December.
- Brendan K. Beare & Juwon Seo, 2019. "Randomization tests of copula symmetry," Papers 1911.05307, arXiv.org.
- Guillou, Armelle & Padoan, Simone A. & Rizzelli, Stefano, 2018. "Inference for asymptotically independent samples of extremes," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 114-135.
- Gijbels, Irène & Kika, Vojtěch & Omelka, Marek, 2021. "On the specification of multivariate association measures and their behaviour with increasing dimension," Journal of Multivariate Analysis, Elsevier, vol. 182(C).
- Segers, Johan, 2012. "Nonparametric inference for max-stable dependence : Discussion of "Statistical Modelling of Spatial Extremes" by A. C. Davison, S. Padoan and M. Ribatet, to appear in Statistical Science," LIDAM Discussion Papers ISBA 2012012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Jean-David Fermanian & Dragan Radulovic & Marten Wegkamp, 2013. "A Asymptotic Total Variation Test for Copulas," Working Papers 2013-25, Center for Research in Economics and Statistics.
- Genest, Christian & Nešlehová, Johanna G. & Rémillard, Bruno, 2017. "Asymptotic behavior of the empirical multilinear copula process under broad conditions," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 82-110.
- Bucher, Axel & Kojadinovic, Ivan, 2013. "A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing," LIDAM Discussion Papers ISBA 2013029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Bücher, Axel & Volgushev, Stanislav, 2013. "Empirical and sequential empirical copula processes under serial dependence," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 61-70.
- Juwon Seo, 2018. "Randomization Tests for Equality in Dependence Structure," Papers 1811.02105, arXiv.org.
- Seo, Juwon, 2018. "Tests of stochastic monotonicity with improved power," Journal of Econometrics, Elsevier, vol. 207(1), pages 53-70.
- Hobæk Haff, Ingrid & Segers, Johan, 2015. "Nonparametric estimation of pair-copula constructions with the empirical pair-copula," Computational Statistics & Data Analysis, Elsevier, vol. 84(C), pages 1-13.
More about this item
Keywords
Copula; Dependence property; Estimator; Measures of concordance; Test;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:200:y:2024:i:c:s0047259x23001057. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.