Regular score tests of independence in multivariate extreme values
Score tests for independence based on i.i.d. bivariate observations are considered under the assumption that their common CDF is \( F(x,y)=\exp\{-(x^{-1/\alpha}+y^{-1/\alpha})^\alpha\} \) with \((x,y)\) in a specified region, e.g., for \(x>u\) and \(y>u\), where \(u\) is a high threshold. The independence corresponds to \(\alpha=1\). In the regularized score test, the observations exceeding a high level are censored and only the information of their number is used in the likelihood. This is done to derive a test statistics with finite variance. The approximated p-levels of the tests are calculated basing on the asymptotic normality of the obtained statistics. Statistical properties of these tests and Kendall's \(\tau\)-based test are compared via simulations.
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