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On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence

✍ Scribed by Noomen Ben Ghorbal; Christian Genest; Johanna Nešlehová

Publisher
John Wiley and Sons
Year
2009
Tongue
French
Weight
239 KB
Volume
37
Category
Article
ISSN
0319-5724

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✦ Synopsis

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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