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https://doi.org/10.3336/gm.60.2.09

Permutation test of independence in tails for dependent processes

Darko Brborović ; Faculty of Informatics, University of Pula, Pula, Croatia

Preuzmi JATS datoteku

Sažetak

In this article, we propose a permutation test for independence in the tails of two strongly mixing and strictly stationary sequences. We establish the asymptotic validity of the test by demonstrating that both the test statistic and its permutation distribution are asymptotically normal. These results build upon and generalize findings from Basrak and Brborović [1]. Additionally, we conduct a simulation study to evaluate the size and power properties of the proposed test.

Ključne riječi

Permutation test, Central limit theorem, Independence in tails, Extreme value analysis

Hrčak ID:

342486

URI

https://hrcak.srce.hr/342486

Datum izdavanja:

22.7.2026.

Posjeta: 380 *