Score tests for covariate effects in conditional copulas

Irène Gijbels, Marek Omelka, Michal Pešta and Noël Veraverbeke

Journal of Multivariate Analysis, 2017, vol. 159, issue C, 111-133

Abstract: We consider copula modeling of the dependence between two or more random variables in the presence of a multivariate covariate. The dependence parameter of the conditional copula possibly depends on the value of the covariate vector. In this paper we develop a new testing methodology for some important parametric specifications of this dependence parameter: constant, linear, quadratic, etc. in the covariate values, possibly after transformation with a link function. The margins are left unspecified. Our novel methodology opens plenty of new possibilities for testing how the conditional copula depends on the multivariate covariate and also for variable selection in copula model building. The suggested test is based on a Rao-type score statistic and regularity conditions are given under which the test has a limiting chi-square distribution under the null hypothesis. For small and moderate sample sizes, a permutation procedure is suggested to assess significance. In simulations it is shown that the test performs well (even under misspecification of the copula family and/or the dependence parameter structure) in comparison to available tests designed for testing for constancy of the dependence parameter. The test is illustrated on a real data set on concentrations of chemicals in water samples.

Keywords: Conditional copula; Covariate effect; Parametric dependence structure; Rao score test; Specification test (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X17302683
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:159:y:2017:i:c:p:111-133

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.jmva.2017.05.001

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().