Locally most powerful rank tests of independence for copula models
By Christian Genest, F. Verret. 2005
61 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/7b0c0a4cfe7e3ffea2c7f8feba8037fdf6273832
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Vijay P. Singh
- Shenglian Guo
- Lu Chen
- Anne-Catherine Favre
- Johana Nešlehová
- Christian Genest
- Noomen Ben Ghorbal
- Christine Jacques
In Statistics and Probability
- Vijay P. Singh
- Shenglian Guo
- Lu Chen
- Anne-Catherine Favre
- Johana Nešlehová
- Noomen Ben Ghorbal
- Christine Jacques
- Julie Béliveau
Citations in the corpus
- Spearman's footrule and Gini's gamma: a review with complements (2010, methodology): “For additional discussion on rank-based tests of independence and efficiency considerations, see, for example, Genest and Rémillard (2004), Genest and Verret (2005) and Genest et al. (2006).”
- Measure of Correlation between River Flows Using the Copula-Entropy Method (2013, methodology): “Genest and Verret (2005) indicated that Kendall’s coefficients or Spearman’s correlation was known to be robust to departures from normality, while remaining powerful.”
- Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007, background): “statistic. Genest and Verret 2005, who review this literature, explain how each J should be chosen so as to yield the most powerful testing procedure against a specific class of copula alternatives.”
- Metaelliptical copulas and their use in frequency analysis of multivariate hydrological data (2007, background): “Because they are rank based, these procedures are known to be robust to departures from normality, while remaining powerful; see, e.g., Genest and Verret [2005] for a recent discussion.”