Asymptotically distribution-free goodness-of-fit testing for tail copulas

Abstract

Let $(X_1,Y_1),\dots ,(X_n,Y_n)$ be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution. The asymptotic joint distribution of the standardized component-wise maxima ${\bigvee }_{i=1}^n{X}_i$ and ${\bigvee }_{i=1}^n{Y}_i$ is then characterized by the marginal extreme value indices and the tail copula $R$. We propose a procedure for constructing asymptotically distribution-free goodness-of-fit tests for the tail copula $R$. The procedure is based on a transformation of a suitable empirical process derived from a semi-parametric estimator of $R$. The transformed empirical process converges weakly to a standard Wiener process, paving the way for a multitude of asymptotically distribution-free goodness-of-fit tests. We also extend our results to the $m$-variate ($m>2$) case. In a simulation study we show that the limit theorems provide good approximations for finite samples and that tests based on the transformed empirical process have high power.

arXiv commentPublished at http://dx.doi.org/10.1214/14-AOS1304 in the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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