Testing tail monotonicity by constrained copula estimation

Irène Gijbels and Dominik Sznajder

Insurance: Mathematics and Economics, 2013, vol. 52, issue 2, 338-351

Abstract: In this paper the interest is in testing for tail monotonicity dependence structures between two random variables. The main focus in the presentation of the statistical methodology is on left tail decreasingness, but the developed procedures can also be used for testing for other specific tail monotonicity dependence structures. In order to assess the p-values of the test statistic, we resample from a constrained copula estimator. This can be done in a nonparametric or in a parametric way. The main difficulty is the construction of a constrained estimator and the development of a resampling technique. The finite-sample performances of the proposed testing procedures are investigated in a simulation study and illustrations on real data examples are provided.

Keywords: Constrained copula estimation; Nonparametric copula estimation; Resampling; Tail monotonicity; Testing hypothesis (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:52:y:2013:i:2:p:338-351

DOI: 10.1016/j.insmatheco.2013.01.006

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