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Positive quadrant dependence tests for copulas

Publication at Faculty of Mathematics and Physics |
2010

Abstract

In this paper the interest is in testing the null hypothesis of positive quadrant dependence (PQD) between two random variables. The key methodology of the proposed testing procedures consists of evaluating a “distance” between a nonparametric estimator of a copula and the independence copula, which serves as a reference case in the whole set of copulas having the PQD property.