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A moment-based test for extreme-value dependence

✍ Scribed by Du, Yeting; NeÅ¡lehová, Johanna


Book ID
120180202
Publisher
Springer
Year
2012
Tongue
English
Weight
528 KB
Volume
76
Category
Article
ISSN
0026-1335

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## Abstract Ghoudi, Khoudraji & Rivest [__The Canadian Journal of Statistics__ 1998;26:187–197] showed how to test whether the dependence structure of a pair of continuous random variables is characterized by an extreme‐value copula. The test is based on a __U__‐statistic whose finite‐ and large‐sa