Testing for a -neighborhood of a generalized Pareto copula
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Publication:2000742
Abstract: A multivariate distribution function F is in the max-domain of attraction of an extreme value distribution if and only if this is true for the copula corresponding to F and its univariate margins. Aulbach et al. (2012a) have shown that a copula satisfies the extreme value condition if and only if the copula is tail equivalent to a generalized Pareto copula (GPC). In this paper we propose a chi-square goodness-of-fit test in arbitrary dimension for testing whether a copula is in a certain neighborhood of a GPC. The test can be applied to stochastic processes as well to check whether the corresponding copula process is close to a generalized Pareto process. Since the p-value of the proposed test is highly sensitive to a proper selection of a certain threshold, we also present a graphical tool that makes the decision, whether or not to reject the hypothesis, more comfortable.
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Cited in
(6)- Generalized Pareto copulas: a key to multivariate extremes
- Copulae: an overview and recent developments
- Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
- Asymptotically distribution-free goodness-of-fit testing for tail copulas
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