Validation of positive expectation dependence
| Autor: | Bogdan Ćmiel, Teresa Ledwina |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Mathematical optimization 05 social sciences Inference Monotonic function Function (mathematics) Type (model theory) 01 natural sciences Data set 010104 statistics & probability Simple (abstract algebra) 0502 economics and business Applied mathematics 0101 mathematics Lorenz curve 050205 econometrics Mathematics Statistical hypothesis testing |
| Zdroj: | ESAIM: Probability and Statistics. 21:536-561 |
| ISSN: | 1262-3318 1292-8100 |
| DOI: | 10.1051/ps/2017015 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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