A Kolmogorov-Smirnov type test for positive quadrant dependence

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A Kolmogorov-Smirnov type test for positive quadrant dependence

SCAILLET, Olivier

Abstract

We consider a consistent test, that is similar to a Kolmogorov-Smirnov test, of the complete set of restrictions that relate to the copula representation of positive quadrant dependence.

For such a test we propose and justify inference relying on a simulation based multiplier method and a bootstrap method. We also explore the finite sample behavior of both methods with Monte Carlos experiments. At first empirical illustrations is given for US insurance claim data. A second one examines the presence of positive quadrant dependence in life expectancies at birth of males and females among countries.

SCAILLET, Olivier. A Kolmogorov-Smirnov type test for positive quadrant dependence. 2005

Available at:

http://archive-ouverte.unige.ch/unige:5763

Disclaimer: layout of this document may differ from the published version.

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2005.01

FACULTE DES SCIENCES

ECONOMIQUES ET SOCIALES

HAUTES ETUDES COMMERCIALES

A Kolmogorov-Smirnov Type Test For Positive Quadrant Dependence

O. SCAILLET

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