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Testing tail monotonicity by constrained copula estimation

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  • Gijbels, Irène
  • Sznajder, Dominik

Abstract

In this paper the interest is in testing for tail monotonicity dependence structures between two random variables. The main focus in the presentation of the statistical methodology is on left tail decreasingness, but the developed procedures can also be used for testing for other specific tail monotonicity dependence structures. In order to assess the p-values of the test statistic, we resample from a constrained copula estimator. This can be done in a nonparametric or in a parametric way. The main difficulty is the construction of a constrained estimator and the development of a resampling technique. The finite-sample performances of the proposed testing procedures are investigated in a simulation study and illustrations on real data examples are provided.

Suggested Citation

  • Gijbels, Irène & Sznajder, Dominik, 2013. "Testing tail monotonicity by constrained copula estimation," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 338-351.
    • Handle: RePEc:eee:insuma:v:52:y:2013:i:2:p:338-351
    DOI: 10.1016/j.insmatheco.2013.01.006
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    References listed on IDEAS

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    Cited by:

    1. Ledwina, Teresa & Wyłupek, Grzegorz, 2014. "Validation of positive quadrant dependence," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 38-47.
    2. Berghaus, Betina & Bücher, Axel, 2014. "Nonparametric tests for tail monotonicity," Journal of Econometrics, Elsevier, vol. 180(2), pages 117-126.
    3. Genest Christian & Scherer Matthias, 2023. "When copulas and smoothing met: An interview with Irène Gijbels," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-16, January.

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