Related papers: An asymptotic total variation test for copulas
The paper proposes a new bootstrap approach to the Pesaran, Shin and Smith's bound tests in a conditional equilibrium correction model with the aim to overcome some typical drawbacks of the latter, such as inconclusive inference and…
This paper considers the problem of testing the equality of two unspecified distributions. The classical omnibus tests such as the Kolmogorov-Smirnov and Cram\`er-von Mises are known to suffer from low power against essentially all but…
Based on recent progress in research on copula based dependence measures, we review the original Renyi's axioms on symmetric measures and propose a new set of axioms that applies to nonsymmetric measures. We show that nonsymmetric measures…
Weak convergence of the empirical copula process indexed by a class of functions is established. Two scenarios are considered in which either some smoothness of these functions or smoothness of the underlying copula function is required. A…
We investigate the validity of two resampling techniques when carrying out inference on the underlying unknown copula using a recently proposed class of smooth, possibly data-adaptive nonparametric estimators that contains empirical…
We present a new, model-independent approach for measuring non-Gaussianity of the Cosmic Microwave Background (CMB) anisotropy pattern. Our approach is based on the empirical distribution function of the normalized spherical harmonic…
We show that the full-sample bootstrap is asymptotically valid for constructing confidence intervals for high-quantiles, tail probabilities, and other tail parameters of a univariate distribution. This resolves the doubts that have been…
This work provides a study of parameter estimators based on functions of Markov chains generated by some perturbations of the independence copula. We provide asymptotic distributions of maximum likelihood estimators and confidence intervals…
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an…
The Kolmogorov-Smirnov statistic is usually introduced as a supremum, but its finite-sample behavior is governed by a more local question: where does the empirical process first cross a boundary? This letter gives a partial answer through a…
This paper lays out a principled approach to compare copula forecasts via strictly consistent scores. We first establish the negative result that, in general, copulas fail to be elicitable, implying that copula predictions cannot sensibly…
When comparing two distributions, it is often helpful to learn at which quantiles or values there is a statistically significant difference. This provides more information than the binary "reject" or "do not reject" decision of a global…
For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of…
A storm of favorable or critical publications regarding p-values-based procedures has been observed in both the theoretical and applied literature. We focus on valid definitions of p-values in the scenarios when composite null models are in…
This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…
We propose a novel test statistic for testing exogeneity in the functional linear regression model. In contrast to Hausman-type tests in finite dimensional linear regression setups, a direct extension to the functional linear regression…
Testing procedures for assessing a parametric regression model with circular response and $\mathbb{R}^d$-valued covariate are proposed and analyzed in this work both for independent and for spatially correlated data. The test statistics are…
Spatial point processes are used as models in many different fields ranging from ecology and forestry to cosmology and materials science. In recent years, model validation, and in particular goodness-of-fit testing of a proposed point…
In this paper, we propose a general method for testing inequality restrictions on nonparametric functions. Our framework includes many nonparametric testing problems in a unified framework, with a number of possible applications in auction…
A multivariate distribution function F is in the max-domain of attraction of an extreme value distribution if and only if this is true for the copula corresponding to F and its univariate margins. Aulbach et al. (2012a) have shown that a…