A test for Archimedeanity in bivariate copula models
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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)
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.
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- Detecting departures from meta-ellipticity for multivariate stationary time series
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- On the estimation of Pareto fronts from the point of view of copula theory
- Nonparametric tests for tail monotonicity
- Multivariate tail dependence and local stochastic dominance
- Goodness-of-fit tests for Archimedean copula models
- 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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