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- W2091111644 abstract "A new class of tests of extreme-value dependence for bivariate copulas is proposed. It is based on the process comparing the empirical copula with a natural nonparametric rank-based estimator of the unknown copula under extreme-value dependence. A multiplier technique is used to compute approximate p-values for several candidate test statistics. Extensive Monte Carlo experiments were carried out to compare the resulting procedures with the tests of extreme-value dependence recently studied in Ben Ghorbal et al. (2009) [1] and Kojadinovic and Yan (2010) [19]. The finite-sample performance study of the tests is complemented by local power calculations." @default.
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- W2091111644 date "2010-10-01" @default.
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- W2091111644 title "Nonparametric rank-based tests of bivariate extreme-value dependence" @default.
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- W2091111644 doi "https://doi.org/10.1016/j.jmva.2010.05.004" @default.
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