Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149786 | Journal of Statistical Planning and Inference | 2009 | 9 Pages |
Abstract
Bivariate extreme value condition (see (1.1) below) includes the marginal extreme value conditions and the existence of the (extreme) dependence function. Two cases are of interest: asymptotic independence and asymptotic dependence. In this paper, we investigate testing the existence of the dependence function under the null hypothesis of asymptotic independence and present two suitable test statistics. Small simulations are studied and the application for a real data is shown. The other case with the null hypothesis of asymptotic dependence is already investigated.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Jürg Hüsler, Deyuan Li,