A goodness-of-fit test for bivariate extreme-value copulas
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Publication:637100
DOI10.3150/10-BEJ279zbMATH Open1284.62331arXiv1102.2078OpenAlexW2035745025MaRDI QIDQ637100FDOQ637100
Authors: Christian Genest, Ivan Kojadinovic, Jun Yan, Johanna Nešlehová 
Publication date: 2 September 2011
Published in: Bernoulli (Search for Journal in Brave)
Abstract: It is often reasonable to assume that the dependence structure of a bivariate continuous distribution belongs to the class of extreme-value copulas. The latter are characterized by their Pickands dependence function. In this paper, a procedure is proposed for testing whether this function belongs to a given parametric family. The test is based on a Cram'{e}r--von Mises statistic measuring the distance between an estimate of the parametric Pickands dependence function and either one of two nonparametric estimators thereof studied by Genest and Segers [Ann. Statist. 37 (2009) 2990--3022]. As the limiting distribution of the test statistic depends on unknown parameters, it must be estimated via a parametric bootstrap procedure, the validity of which is established. Monte Carlo simulations are used to assess the power of the test and an extension to dependence structures that are left-tail decreasing in both variables is considered.
Full work available at URL: https://arxiv.org/abs/1102.2078
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extreme-value copulaparametric bootstrapPickands dependence functiongoodness of fitrank-based inference
Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15)
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Cited In (38)
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