Testing for a -neighborhood of a generalized Pareto copula

DOI10.1007/S10463-018-0657-XzbMATH Open1422.62174arXiv1309.1412OpenAlexW2963382894MaRDI QIDQ2000742FDOQ2000742

Stefan Aulbach, Michael Falk, Timo Fuller

Publication date: 28 June 2019

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1309.1412

zbMATH Keywords

copulagoodness-of-fit testextreme value distributionmax-domain of attractiongeneralized Pareto copula

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Point processes and multivariate extreme values
• Computing the distribution of quadratic forms in normal variables
• Tails of multivariate Archimedean copulas
• Extremal behavior of Archimedean copulas
• Large-sample tests of extreme-value dependence for multivariate copulas
• On max-stable processes and the functional \(D\)-norm
• Approximate distributions of order statistics. With applications to nonparametric statistics
• max-infinitely divisible and max-stable sample continuous processes
• On convergence toward an extreme value distribution in \(C[0,1]\)
• Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
• Asymptotic results for the sum of dependent non-identically distributed random variables
• Laws of Small Numbers: Extremes and Rare Events
• Characterizations of a multivariate extreme value distribution
• A multivariate piecing-together approach with an application to operational loss data
• Testing for a multivariate generalized Pareto distribution
• Propriétés statistiques des copules de valeurs extrêmes bidimensionnelles
• Testing extreme value conditions
• Approximations to the tail empirical distribution function with application to testing extreme value conditions
• When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs
• A family of matrices, the discretized Brownian bridge, and distance-based regression
• Sojourn times and the fragility index
• The continuous and discrete Brownian bridges: Representations and applications
• On the hitting probability of max-stable processes

Cited In (3)

• Generalized Pareto copulas: a key to multivariate extremes
• A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses
• Copulae: an overview and recent developments

This page was built for publication: Testing for a \(\delta \)-neighborhood of a generalized Pareto copula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2000742)