Large-sample tests of extreme-value dependence for multivariate copulas
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Nonparametric statistical resampling methods (62G09) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to physics (62P35)
Abstract: Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the proposed tests are the empirical copula of the data and a multiplier technique for obtaining approximate p-values for the derived statistics. The asymptotic validity of the multiplier approach is established, and the finite-sample performance of a large number of candidate test statistics is studied through extensive Monte Carlo experiments for data sets of dimension two to five. In the bivariate case, the rejection rates of the best versions of the tests are compared with those of the test of Ghoudi, Khoudraji and Rivest (1998) recently revisited by Ben Ghorbal, Genest and Neslehova (2009). The proposed procedures are illustrated on bivariate financial data and trivariate geological data.
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Cited in
(28)- Detecting changes in cross-sectional dependence in multivariate time series
- Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions
- Some copula inference procedures adapted to the presence of ties
- Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
- Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
- Conditional empirical copula processes and generalized measures of association
- Inference for Archimax copulas
- Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach
- A moment-based test for extreme-value dependence
- A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
- On the effect of long-range dependence on extreme value copula estimation with fixed marginals
- A non-parametric test of exchangeability for extreme-value and left-tail decreasing bivariate copulas
- Testing for bivariate extreme dependence using Kendall's process
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- A flexible and tractable class of one-factor copulas
- On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence
- Using B-splines for nonparametric inference on bivariate extreme-value copulas
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
- A class of multivariate copulas based on products of bivariate copulas
- Tests of multivariate copula exchangeability based on Lévy measures
- An overview of nonparametric tests of extreme-value dependence and of some related statistical procedures
- A test for truncation invariant dependence
- Modeling influenza-like illness activity in the United States
- Nonparametric inference for max-stable dependence
- A modeler's guide to extreme value software
- Semi-parametric estimation of system reliability for multicomponent stress-strength model under hierarchical Archimedean copulas
- Clustered Archimax copulas
- Nonparametric rank-based tests of bivariate extreme-value dependence
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