A moment-based test for extreme-value dependence

Yeting Du and Johanna Nešlehová ()

Metrika: International Journal for Theoretical and Applied Statistics, 2013, vol. 76, issue 5, 673-695

Abstract: This paper proposes a new rank-based test of extreme-value dependence. The procedure is based on the first three moments of the bivariate probability integral transform of the underlying copula. It is seen that the test statistic is asymptotically normal and its finite- and large-sample variance are calculated explicitly. Consistent plug-in estimators for the variance are proposed, and a fast algorithm for their computation is given. Although it is shown via counterexamples that no test based on the probability integral transform can be consistent, the proposed procedure achieves good power against common alternatives, both in finite samples and asymptotically. Copyright Springer-Verlag 2013

Keywords: Extreme-value copula; Ghoudi–Khoudraji–Rivest test; Kendall’s distribution; Kendall’s tau; Test of extremeness; $$U$$ -statistic; 62H15; 62G10; 62G32 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:metrik:v:76:y:2013:i:5:p:673-695

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DOI: 10.1007/s00184-012-0410-z

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