Nonparametric rank-based tests of bivariate extreme-value dependence

Ivan Kojadinovic and Jun Yan

Journal of Multivariate Analysis, 2010, vol. 101, issue 9, 2234-2249

Abstract: A new class of tests of extreme-value dependence for bivariate copulas is proposed. It is based on the process comparing the empirical copula with a natural nonparametric rank-based estimator of the unknown copula under extreme-value dependence. A multiplier technique is used to compute approximate p-values for several candidate test statistics. Extensive Monte Carlo experiments were carried out to compare the resulting procedures with the tests of extreme-value dependence recently studied in Ben Ghorbal et al. (2009) [1] and Kojadinovic and Yan (2010) [19]. The finite-sample performance study of the tests is complemented by local power calculations.

Keywords: Contiguity; Extreme-value; copulas; Local; power; comparisons; Multiplier; central; limit; theorem; Pseudo-observations; Ranks (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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