A test for Archimedeanity in bivariate copula models

Axel Bücher, Holger Dette and Stanislav Volgushev

Journal of Multivariate Analysis, 2012, vol. 110, issue C, 121-132

Abstract: We propose a new test for the hypothesis that a bivariate copula is an Archimedean copula which can be used as a preliminary step before further dependence modeling. The corresponding test statistic is based on a combination of two measures resulting from the characterization of Archimedean copulas by the property of associativity and by a strict upper bound on the diagonal by the Fréchet–Hoeffding upper bound. We prove weak convergence of this statistic and show that the critical values of the corresponding test can be determined by the multiplier bootstrap method. The test is shown to be consistent against all departures from Archimedeanity. A simulation study is presented which illustrates the finite-sample properties of the new test.

Keywords: Archimedean copula; Associativity; Functional delta method; Multiplier bootstrap (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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DOI: 10.1016/j.jmva.2012.01.026

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