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A kolmogorov-smirnov type test for positive quadrant dependence

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Published in Canadian Journal of Statistics. 2005, vol. 33, no. 3, p. 415-427
Abstract The author considers a consistent, Kolmogorov-Smirnov type of test of the complete set of restrictions that relate to the copula representation of positive quadrant dependence. For such a test, he proposes and justifies inference relying on a simulation-based multiplier method and a bootstrap method. He also explores the finite-sample behaviour of both methods with Monte Carlo experiments. A first empirical illustration is given for American insurance claim data. A second one examines the presence of positive quadrant dependence in life expectancies at birth of males and females across countries.
Keywords BootstrapCopulaEmpirical processLoss severity distributionMultiplier methodNonparametric estimatorPositive quadrant dependenceRisk management
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Research group Geneva Finance Research Institute (GFRI)
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SCAILLET, Olivier. A kolmogorov-smirnov type test for positive quadrant dependence. In: Canadian Journal of Statistics, 2005, vol. 33, n° 3, p. 415-427. https://archive-ouverte.unige.ch/unige:79874

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Deposited on : 2016-01-22

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