A test for Archimedeanity in bivariate copula models
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Publication:443784
DOI10.1016/J.JMVA.2012.01.026zbMATH Open1243.62078arXiv1109.6501OpenAlexW2126467771MaRDI QIDQ443784FDOQ443784
Authors: Axel Bücher, Stanislav Volgushev, Holger Dette 
Publication date: 13 August 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: We propose a new test for the hypothesis that a bivariate copula is an Archimedean copula. The test statistic is based on a combination of two measures resulting from the characterization of Archimedean copulas by the property of associativity and by a strict upper bound on the diagonal by the Fr'echet-upper bound. We prove weak convergence of this statistic and show that the critical values of the corresponding test can be determined by the multiplier bootstrap method. The test is shown to be consistent against all departures from Archimedeanity if the copula satisfies weak smoothness assumptions. A simulation study is presented which illustrates the finite sample properties of the new test.
Full work available at URL: https://arxiv.org/abs/1109.6501
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Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Central limit and other weak theorems (60F05)
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Cited In (19)
- Construction of Archimedean copulas using total time on test transforms
- Do stock returns have an Archimedean copula?
- A consistent statistical test based on bivariate random samples
- Nonparametric Identification of Copula Structures
- Tests for left tail dependence properties of Archimedean copula
- How many Archimedean copulæare there?
- A test for truncation invariant dependence
- Detecting departures from meta-ellipticity for multivariate stationary time series
- On the estimation of Pareto fronts from the point of view of copula theory
- Nonparametric tests for tail monotonicity
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- Stochastic dominance and statistical preference for random variables coupled by an Archimedean copula or by the Fréchet-Hoeffding upper bound
- A general framework for testing homogeneity hypotheses about copulas
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- A goodness-of-fit test for Archimedean copula models in the presence of right censoring
- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
- Testing exchangeability of copulas in arbitrary dimension
- Bivariate two sample test based on exceedance statistics
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