On the Ghoudi,Khoudraji, and Rivest test for extreme‐value dependence |
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| Authors: | Noomen Ben Ghorbal Christian Genest Johanna Nešlehová |
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| Affiliation: | 1. Département de mathématiques et de statistique, Université Laval, 1045, avenue de la Médecine, Québec (Québec), Canada G1V 0A6;2. Departement Mathematik, ETH Zürich, R?mistrasse 101, CH‐8092 Zürich, Switzerland |
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| Abstract: | Ghoudi, Khoudraji & Rivest [The Canadian Journal of Statistics 1998;26:187–197] showed how to test whether the dependence structure of a pair of continuous random variables is characterized by an extreme‐value copula. The test is based on a U‐statistic whose finite‐ and large‐sample variance are determined by the present authors. They propose estimates of this variance which they compare to the jackknife estimate of Ghoudi, Khoudraji & Rivest ( 1998 ) through simulations. They study the finite‐sample and asymptotic power of the test under various alternatives. They illustrate their approach using financial and geological data. The Canadian Journal of Statistics © 2009 Statistical Society of Canada |
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| Keywords: | Copula extreme‐value jackknife Kendall's tau probability integral transformation ranks U‐statistic MSC 2000: Primary 62H05 secondary 62G32 |
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