On nonparametric tests of multivariate meta-ellipticity

Jean-François Quessy ()
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Jean-François Quessy: Université du Québec à Trois-Rivières

Statistical Papers, 2021, vol. 62, issue 5, No 11, 2283-2310

Abstract: Abstract A statistical procedure to determine if the dependence structure of a multivariate random vector belongs or not to the general class of elliptical copulas has been proposed by Jaser et al. (Depend Model 5:330–353, 2017). Their test exploits the fact that when the copula of a multivariate population is elliptical, the theoretical Kendall and Blomqvist dependence measures of each pair are the same. Under a setup where the marginal distributions are known, they based their decision rule on the asymptotic distribution of the proposed test statistic, which is chi-squared. In this paper, the restrictive assumption of known marginals is relaxed by the use of ranks. In addition, new test statistics are proposed and their p-values are computed from suitably adapted bootstrap replicates based on the form of their limit under the null hypothesis. Unlike Jaser et al.’s test, the proposed procedures keep their nominal level well when the dimension exceeds two. It is also shown that the new tests have good power properties against several types of alternatives to copula ellipticity.

Keywords: Blomqvist’s beta; Kendall’s tau; Multiplier bootstrap; Shape hypotheses (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s00362-020-01189-x

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