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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
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SCAILLET, Olivier. A Kolmogorov-Smirnov type test for positive quadrant dependence. 2005 https://archive-ouverte.unige.ch/unige:5763

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Deposited on : 2010-04-15

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