A test for Archimedeanity in bivariate copula models

Axel Bücher; Holger Dette; Stanislav Volgushev

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arXiv · 1109.6501

A test for Archimedeanity in bivariate copula models

Axel Bücher·Holger Dette·Stanislav Volgushev

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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 satisfies weak smoothness assumptions. A simulation study is presented which illustrates the finite sample properties of the new test.

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Axel Bücher, Holger Dette, Stanislav Volgushev. 2011-09-29. A test for Archimedeanity in bivariate copula models. https://arxiv.org/abs/1109.6501

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