Permutation test of tail dependence

Bojan Basrak () and Darko Brborović ()
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Bojan Basrak: University of Zagreb, Faculty of Science
Darko Brborović: University of Zagreb, Faculty of Science

Statistical Methods & Applications, 2024, vol. 33, issue 1, No 4, 89-129

Abstract: Abstract We propose and analyze a permutation test of the tail dependence between two random variables whose marginal distributions are assumed to be known. Justifying the test, we show that the proposed test statistics and their permutation distribution converge to the normal distribution. The analysis is motivated by the recent results of DiCiccio and Romano (J Am Stat Assoc 112(519):1211–1220, 2017) on permutation tests for correlation between random variables. We also provide a simulation study of the size and power properties of the test and an application to financial data.

Keywords: Permutation test; Tail independence; Asymptotic independence; Near independence; Tail dependence coefficient; Extreme value analysis; 62G09; 62G32; 62E20 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10260-023-00723-z

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