A test for Archimedeanity in bivariate copula models

DOI10.1016/j.jmva.2012.01.026zbMath1243.62078arXiv1109.6501OpenAlexW2126467771MaRDI QIDQ443784

Axel Bücher, Stanislav Volgushev, Dette, Holger

Publication date: 13 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.6501

zbMATH Keywords

associativityArchimedean copulafunctional delta methodmultiplier bootstrap

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Nonparametric statistical resampling methods (62G09)

Related Items (14)

A general framework for testing homogeneity hypotheses about copulas ⋮ A consistent statistical test based on bivariate random samples ⋮ Nonparametric Identification of Copula Structures ⋮ Bivariate two sample test based on exceedance statistics ⋮ Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique ⋮ A Test for Truncation Invariant Dependence ⋮ Stochastic dominance and statistical preference for random variables coupled by an Archimedean copula or by the Fréchet-Hoeffding upper bound ⋮ Multivariate tail dependence and local stochastic dominance ⋮ Do stock returns have an Archimedean copula? ⋮ GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS ⋮ Nonparametric tests for tail monotonicity ⋮ Detecting departures from meta-ellipticity for multivariate stationary time series ⋮ On the estimation of Pareto fronts from the point of view of copula theory ⋮ Testing exchangeability of copulas in arbitrary dimension

Uses Software

• TwoCop

Cites Work

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