Geodesic
Validation of positive expectation dependence
Ćmiel, Bogdan1 ; Ledwina, Teresa2
1AGH University of Science and Technology, Faculty of Applied Mathematics, Al. Mickiewicza 30, 30-059 Cracow, Poland
2Polish Academy of Sciences, Institute of Mathematics, ul. Kopernika 18, 51-617 Wrocław, Poland.
ESAIM: Probability and Statistics, Tome 21 (2017), pp. 536-561

Voir la notice de l'article provenant de la source Numdam

Zbl MR

In this paper, we develop tests for positive expectation dependence. The proposed tests are based on weighted Kolmogorov−Smirnov type statistics. These originate from the function valued monotonic dependence function, describing local changes of the strength of the dependence. The resulting procedure is supported by a simple and insightful graphical device. This paper presents asymptotic and simulation results for such tests. We show that an inference relying on p-values and wild bootstrap allows to overcome inherent difficulties of this testing problem. Our simulations show that the new tests perform well in finite samples. A Danish fire insurance data set is examined to demonstrate the practical application of the proposed inference methods.

Reçu le :
Accepté le :
DOI : 10.1051/ps/2017015
Classification : 60F05, 62G09, 62G10, 62G20
Keywords: Hypothesis testing, expectation dependence, Lorenz curve, monotonic dependence function, multiplier central limit theorem, wild bootstrap, Zenga curve

Ćmiel, Bogdan  1   ; Ledwina, Teresa  2

1 AGH University of Science and Technology, Faculty of Applied Mathematics, Al. Mickiewicza 30, 30-059 Cracow, Poland
2 Polish Academy of Sciences, Institute of Mathematics, ul. Kopernika 18, 51-617 Wrocław, Poland. 
Ćmiel, Bogdan; Ledwina, Teresa. Validation of positive expectation dependence. ESAIM: Probability and Statistics, Tome 21 (2017), pp. 536-561. doi: 10.1051/ps/2017015
@article{PS_2017__21__536_0,
     author = {\'Cmiel, Bogdan and Ledwina, Teresa},
     title = {Validation of positive expectation dependence},
     journal = {ESAIM: Probability and Statistics},
     pages = {536--561},
     year = {2017},
     publisher = {EDP-Sciences},
     volume = {21},
     doi = {10.1051/ps/2017015},
     zbl = {1393.60028},
     mrnumber = {3743925},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps/2017015/}
}
TY  - JOUR
AU  - Ćmiel, Bogdan
AU  - Ledwina, Teresa
TI  - Validation of positive expectation dependence
JO  - ESAIM: Probability and Statistics
PY  - 2017
SP  - 536
EP  - 561
VL  - 21
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/ps/2017015/
DO  - 10.1051/ps/2017015
LA  - en
ID  - PS_2017__21__536_0
ER  - 
%0 Journal Article
%A Ćmiel, Bogdan
%A Ledwina, Teresa
%T Validation of positive expectation dependence
%J ESAIM: Probability and Statistics
%D 2017
%P 536-561
%V 21
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/ps/2017015/
%R 10.1051/ps/2017015
%G en
%F PS_2017__21__536_0

Cité par Sources :