• ENG 
    • ENG
    • ITA
    • DEU
View Item 
  •   Bozen-Bolzano Institutional Archive (BIA)
  • Free University of Bozen-Bolzano (unibz)
  • Publications of the Faculty of Economics and Management
  • Books and Book Chapters - Economics and Management
  • View Item
  •   Bozen-Bolzano Institutional Archive (BIA)
  • Free University of Bozen-Bolzano (unibz)
  • Publications of the Faculty of Economics and Management
  • Books and Book Chapters - Economics and Management
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

A test for truncation invariant dependence

Thumbnail
Date
2017
Author
Di Lascio FML
Durante F
Jaworski P
Metadata
Show full item record
A test is proposed to check whether a random sample comes from a truncation invariant copula C, that is, if C is the copula of a pair (U, V) of random variables uniformly distributed on [0, 1], then C is also the copula of the conditional distribution function of (U, V | U ≤ α) for every α ∈ (0, 1]. The asymptotic normality of the test statistics is shown. Moreover, a procedure is described to simplify the approximation of the asymptotic variance of the test. Its performance is investigated in a simulation study.
URI
http://dx.doi.org/10.1007/978-3-319-42972-4_22
http://link.springer.com/chapter/10.1007/978-3-319-42972-4_22
https://bia.unibz.it/handle/10863/11164
Collections
  • Books and Book Chapters - Economics and Management

Browse

All of BIACommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

My Account

Admin Login

Bia is a project of the University Library of Bozen-Bolzano (Learn More)
PrivacyContact Us
DSpace Express is a service operated by 
Atmire NV