Authors: | Berghaus, Betina Bücher, Axel |
Title: | Nonparametric tests for tail monotonicity |
Language (ISO): | en |
Abstract: | This article proposes nonparametric tests for tail monotonicity of bivariate random vectors. The test statistic is based on a Kolmogorov-Smirnov-type functional of the empirical copula. Depending on the serial dependence features of the data, we propose two multiplier bootstrap techniques to approximate the critical values. We show that the test is able to detect local alternatives converging to the null hypothesis at rate n^-1/2 with a non-trivial power. A simulation study is performed to investigate the finite-sample performance and finally the procedure is illustrated by testing intergenerational income mobility. |
Subject Headings: | copula left tail decreasing multiplier bootstrap ranks tail monotonicity |
URI: | http://hdl.handle.net/2003/30095 http://dx.doi.org/10.17877/DE290R-14594 |
Issue Date: | 2013-03-14 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_0713_SFB823_Berghaus_Bücher.pdf | DNB | 206.3 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright
rightsstatements.org