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- W3121972413 abstract "We consider distributional free inference to test for positive quadrant dependence, i.e. for the probability that two variables are simultaneously small (or large) being at least as great as it would be were they dependent. Tests for its generalisation in higher dimensions, namely positive orthant dependences, are also analysed. We propose two types of testing procedures. The first procedure is based on the specification of the dependence concepts in terms of distribution functions, while the second procedure exploits the copula representation. For each specification a distance test and an intersection-union test for inequality constraints are developed depending on the definition of null and alternative hypotheses. An empirical illustration is given for US and Danish insurance claim data. Practical implications for the design of reinsurance treaties are also discussed." @default.
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- W3121972413 date "2002-01-01" @default.
- W3121972413 modified "2023-09-26" @default.
- W3121972413 title "Nonparametric Tests for Positive Quadrant Dependence" @default.
- W3121972413 doi "https://doi.org/10.2139/ssrn.307665" @default.
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