UNIGE document Report
previous document  unige:5763  next document
add to browser collection

A Kolmogorov-Smirnov type test for positive quadrant dependence

Year 2005
Collection Cahiers de recherche; 2005.01
Abstract We consider a consistent test, that is similar to a Kolmogorov-Smirnov test, of the complete set of restrictions that relate to the copula representation of positive quadrant dependence. For such a test we propose and justify inference relying on a simulation based multiplier method and a bootstrap method. We also explore the finite sample behavior of both methods with Monte Carlos experiments. At first empirical illustrations is given for US insurance claim data. A second one examines the presence of positive quadrant dependence in life expectancies at birth of males and females among countries.
Keywords NonparametricPositive Quadrant DependenceCopulaRisk ManagementLoss Severity DistributionBootstrapMultiplier MethodEmpirical Process
Full text
(ISO format)
SCAILLET, Olivier. A Kolmogorov-Smirnov type test for positive quadrant dependence. 2005 https://archive-ouverte.unige.ch/unige:5763

192 hits



Deposited on : 2010-04-15

Export document
Format :
Citation style :