A test for Archimedeanity in bivariate copula models

dc.contributor.author	Bücher, Axel
dc.contributor.author	Dette, Holger
dc.contributor.author	Volgushev, Stanislav
dc.date.accessioned	2011-09-20T10:00:14Z
dc.date.available	2011-09-20T10:00:14Z
dc.date.issued	2011-09-20
dc.description.abstract	We propose a new test for the hypothesis that a bivariate copula is an Archimedean copula. The test statistic is based on a combination of two measures resulting from the characterization of Archimedean copulas by the property of associativity and by a strict upper bound on the diagonal by the Fréchet-upper bound. We prove weak convergence of this statistic and show that the critical values of the corresponding test can be determined by the multiplier bootstrap method. The test is shown to be consistent against all departures from Archimedeanity if the copula satis es weak smoothness assumptions. A simulation study is presented which illustrates the finite sample properties of the new test.	en
dc.identifier.uri	http://hdl.handle.net/2003/29109
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-2916
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;35/2011
dc.subject	Archimedean Copula	en
dc.subject	associativity	en
dc.subject	functional delta method	en
dc.subject	multiplier bootstrap	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	A test for Archimedeanity in bivariate copula models	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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