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Testing extreme value copulas to estimate the quantile
dc.contributor.author | Bahraoui, Zuhair |
dc.contributor.author | Bolancé, Catalina |
dc.contributor.author | Pérez-Marín, Ana M. |
dc.date.accessioned | 2016-07-20T09:43:36Z |
dc.date.available | 2016-07-20T09:43:36Z |
dc.date.issued | 2014-06-12 |
dc.identifier.citation | Bahraoui, Zuhair; Bolancé, Catalina; Pérez-Marín, Ana M. Testing extreme value copulas to estimate the quantile. "SORT", 12 Juny 2014, vol. 38, núm. 1, p. 89-102. |
dc.identifier.issn | 1696-2281 |
dc.identifier.uri | http://hdl.handle.net/2117/88925 |
dc.description.abstract | We generalize the test proposed by Kojadinovic, Segers and Yan which is used for testing whether the data belongs to the family of extreme value copulas. We prove that the generalized test can be applied whatever the alternative hypothesis. We also study the effect of using different extreme value copulas in the context of risk estimation. To measure the risk we use a quantile. Our results have been motivated by a bivariate sample of losses from a real database of auto Insurance claims. |
dc.format.extent | 14 p. |
dc.language.iso | eng |
dc.publisher | Institut d'Estadística de Catalunya |
dc.relation.ispartof | SORT. 2014, Vol. 38, Núm. 1 |
dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
dc.subject.other | Extreme value copula |
dc.subject.other | extreme value distributions |
dc.subject.other | quantile |
dc.title | Testing extreme value copulas to estimate the quantile |
dc.type | Article |
dc.description.peerreviewed | Peer Reviewed |
dc.subject.ams | Classificació AMS::62 Statistics::62F Parametric inference |
dc.rights.access | Open Access |
local.citation.publicationName | SORT |
local.citation.volume | 38 |
local.citation.number | 1 |
local.citation.startingPage | 89 |
local.citation.endingPage | 102 |