Abstract
We propose a unified framework for testing a variety of assumptions commonly made about the structure of copulas, including symmetry, radial symmetry, joint symmetry, associativity and Archimedeanity, and max-stability. Our test is nonparametric and based on the asymptotic distribution of the empirical copula process.We perform simulation experiments to evaluate our test and conclude that our method is reliable and powerful for assessing common assumptions on the structure of copulas, particularly when the sample size is moderately large. We illustrate our testing approach on two datasets. © 2013 American Statistical Association.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 666-675 |
| Number of pages | 10 |
| Journal | Journal of the American Statistical Association |
| Volume | 108 |
| Issue number | 502 |
| DOIs | |
| State | Published - Jun 2013 |
Bibliographical note
KAUST Repository Item: Exported on 2020-10-01Acknowledgements: Bo Li is Assistant Professor, Department of Statistics, Purdue University, West Lafayette, IN 47907-2066 (E-mail: [email protected]). Marc G. Genton is Professor, CEMSE Division, King Abdullah University of Science and Technology, Thuwal 23955-6900, Saudi Arabia (E-mail: [email protected]). Li's research was partially supported by the National Science Foundation grant DMS-1007686. The authors thank the Editor, an Associate Editor, two anonymous referees, Christian Genest, Ivan Kojadinovic, Johanna Neslehova, Bruno Remillard, and Stanislav Volgushev for their helpful comments and suggestions, as well as Jean-Francois Quessy and Stanislav Volgushev for providing code for their testing procedures.
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty