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
tail monotonicity
Issue Date: 2013-03-14
Appears in Collections:Sonderforschungsbereich (SFB) 823

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