A goodness-of-fit test for bivariate extreme-value copulas
Genest, Christian ; Kojadinovic, Ivan ; Nešlehová, Johanna ; Yan, Jun
Bernoulli, Tome 17 (2011) no. 1, p. 253-275 / Harvested from Project Euclid
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 Cramér–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.
Publié le : 2011-02-15
Classification:  extreme-value copula,  goodness of fit,  parametric bootstrap,  Pickands dependence function,  rank-based inference
@article{1297173842,
     author = {Genest, Christian and Kojadinovic, Ivan and Ne\v slehov\'a, Johanna and Yan, Jun},
     title = {A goodness-of-fit test for bivariate extreme-value copulas},
     journal = {Bernoulli},
     volume = {17},
     number = {1},
     year = {2011},
     pages = { 253-275},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1297173842}
}
Genest, Christian; Kojadinovic, Ivan; Nešlehová, Johanna; Yan, Jun. A goodness-of-fit test for bivariate extreme-value copulas. Bernoulli, Tome 17 (2011) no. 1, pp.  253-275. http://gdmltest.u-ga.fr/item/1297173842/