Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146481 | Journal of Multivariate Analysis | 2010 | 16 Pages |
Abstract
A new class of tests of extreme-value dependence for bivariate copulas is proposed. It is based on the process comparing the empirical copula with a natural nonparametric rank-based estimator of the unknown copula under extreme-value dependence. A multiplier technique is used to compute approximate pp-values for several candidate test statistics. Extensive Monte Carlo experiments were carried out to compare the resulting procedures with the tests of extreme-value dependence recently studied in Ben Ghorbal et al. (2009) [1] and Kojadinovic and Yan (2010) [19]. The finite-sample performance study of the tests is complemented by local power calculations.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Ivan Kojadinovic, Jun Yan,