A test for Archimedeanity in bivariate copula models

JOURNAL OF MULTIVARIATE ANALYSIS

卷:110

Article; Proceedings Paper

Dette, Holger¹ 

[1] Ruhr Univ Bochum, Fak Math, Dept Math, D-44780 Bochum, Germany

关键词: Archimedean copula;    Associativity;    Functional delta method;    Multiplier bootstrap;   

DOI  :  10.1016/j.jmva.2012.01.026

来源: Elsevier

【 摘 要 】

We propose a new test for the hypothesis that a bivariate copula is an Archimedean copula which can be used as a preliminary step before further dependence modeling. The corresponding test statistic is based on a combination of two measures resulting from the characterization of Archimedean copulas by the property of associativity and by a strict upper bound on the diagonal by the Frechet-Hoeffding upper bound. We prove weak convergence of this statistic and show that the critical values of the corresponding test can be determined by the multiplier bootstrap method. The test is shown to be consistent against all departures from Archimedeanity. A simulation study is presented which illustrates the finite-sample properties of the new test. (C) 2012 Elsevier Inc. All rights reserved.

【 授权许可】

Free