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On the Ghoudi, Khoudraji, and Rivest test for extreme‐value dependence
Author(s) -
Ben Ghorbal Noomen,
Genest Christian,
Nešlehová Johanna
Publication year - 2009
Publication title -
canadian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.804
H-Index - 51
eISSN - 1708-945X
pISSN - 0319-5724
DOI - 10.1002/cjs.10034
Subject(s) - statistics , copula (linguistics) , jackknife resampling , mathematics , test statistic , statistic , statistical hypothesis testing , econometrics , delta method , estimator
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