
handle: 2078.1/114670
We propose inference tools to analyse the concordance (or correlation) order of random vectors. The analysis in the bivariate case relies on tests for upper and lower quadrant dominance of the true distribution by a parametric or semiparametric model, i.e. for a parametric or semiparametric model to give a probability that two variables are simultaneously small or large at least as great as it would be were they left unspecified. Tests for its generalisation in higher dimensions, namely joint lower and upper orthant dominance, are also analysed. The parametric and semiparametric settings are based on the copula representation for multivariate distribution, which allows for disentangling behaviour of margins and dependence structure. A distance test and an intersection-union test for inequality constraints are developed depending on the definition of null and alternative hypotheses. An empirical illustration is given for US insurance claim data.
Applications of statistics to actuarial sciences and financial mathematics, inequality constraint tests, Asymptotic distribution theory in statistics, Estimation in multivariate analysis, Nonparametric; Concordance ordering; Quadrant dominance; Orthant dominance; Copula; Inequality constraint tests; Risk management; Loss severity distribution, Point estimation, quadrant dominance, loss severity distribution, risk management, orthant dominance, copula, Nonparametric, Concordance Ordering, Quadrant Domi- nance, Orthant Dominance, Copula, Inequality Constraint Tests, Risk Management, Loss Severity Distribution, Hypothesis testing in multivariate analysis, Nonparametric hypothesis testing, Characterization and structure theory for multivariate probability distributions; copulas, concordance correlation order, jel: jel:D81, jel: jel:C12, jel: jel:G10, jel: jel:G21, jel: jel:G22
Applications of statistics to actuarial sciences and financial mathematics, inequality constraint tests, Asymptotic distribution theory in statistics, Estimation in multivariate analysis, Nonparametric; Concordance ordering; Quadrant dominance; Orthant dominance; Copula; Inequality constraint tests; Risk management; Loss severity distribution, Point estimation, quadrant dominance, loss severity distribution, risk management, orthant dominance, copula, Nonparametric, Concordance Ordering, Quadrant Domi- nance, Orthant Dominance, Copula, Inequality Constraint Tests, Risk Management, Loss Severity Distribution, Hypothesis testing in multivariate analysis, Nonparametric hypothesis testing, Characterization and structure theory for multivariate probability distributions; copulas, concordance correlation order, jel: jel:D81, jel: jel:C12, jel: jel:G10, jel: jel:G21, jel: jel:G22
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