Testing extreme value copulas to estimate the quantile

• Autores: Zuhair Bahraoui, Catalina Bolancé Losilla , Ana María Pérez Marín
• Localización: Sort: Statistics and Operations Research Transactions, ISSN 1696-2281, Vol. 38, Nº. 1, 2014, págs. 89-102
• Idioma: inglés
• Enlaces
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• Dialnet Métricas: 4 Citas
• Resumen

  • 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.

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