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Large-sample tests of extreme-value dependence for multivariate copulas

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Kojadinovic, Ivan [Université de Pau et des Pays de l’Adour, Pau, France] Segers, Johan [UCL] Yan, Jun [University of Connecticut, USA]

Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the proposed tests are the empirical copula of the data and a multiplier technique for obtaining approximate p-values for the derived statistics. The asymptotic validity of the multiplier approach is established, and the finite-sample performance of a large number of candidate test statistics is studied through extensive Monte Carlo experiments for data sets of dimension two to five. In the bivariate case, the rejection rates of the best versions of the tests are compared with those of the test of Ghoudi et al. (1998) recently revisited by Ben Ghorbal et al. (2009). The proposed procedures are illustrated on bivariate financial data and trivariate geological data.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2011
Language Anglais
Journal information "Canadian Journal of Statistics" - Vol. 39, no. 4, p. 703-720 (2011)
Peer reviewed yes
Publisher Wiley-Blackwell Publishing, Inc. ((United States) Hoboken)
issn 0319-5724
e-issn 1708-945X
Publication status Publié
Affiliations UCL - SSH/LIDAM/ISBA - Institut de Statistique, Biostatistique et Sciences Actuarielles
Université de Pau et des Pays de l’Adour, Pau, France - Laboratoire de Mathématiques et Applications
University of Connecticut, USA - Department of Statistics
Keywords Max-stability ; Multiplier central limit theorem ; Pseudo-observations ; Ranks
Links
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Bibliographic reference Kojadinovic, Ivan ; Segers, Johan ; Yan, Jun. Large-sample tests of extreme-value dependence for multivariate copulas. In: Canadian Journal of Statistics, Vol. 39, no. 4, p. 703-720 (2011)
Permanent URL http://hdl.handle.net/2078.1/93963