Electronic Journal of Statistics

A general framework for testing homogeneity hypotheses about copulas

Jean-François Quessy

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Abstract

The dependence structure in a $d$-variate continuous random vector $\mathbf{X}$ is characterized by its unique copula. Starting from the fact that many copulas can be extracted from the global $d$-dimensional copula of $\mathbf{X}$, a very general framework is proposed here for testing that a given collection of induced $p$-dimensional copulas from a multivariate distribution are identical. Many hypotheses of interest in copula modeling fall into this category, including bivariate symmetry (diagonal, radial, joint), exchangeability, as well as various types of equality of copulas. Here, a broad class of test statistics is defined around a matrix representation of the null hypothesis and quadratic functionals including Cramér–von Mises and characteristic function mappings. Since the null hypotheses to be tested are composite by nature, the computation of $\mathrm{P}$-values is achieved using multiplier bootstrap versions of the test statistics. The sample properties of the method are investigated when testing for several types of bivariate symmetry, exchangeability, equality of non-overlapping and overlapping copulas and equality of all bivariate copulas. The general conclusion is that the tests are good at keeping their nominal level and are powerful against a wide variety of alternatives, showing the relevance and reliability of the methodology for the modeling of multivariate datasets with the help of copulas.

Article information

Source
Electron. J. Statist., Volume 10, Number 1 (2016), 1064-1097.

Dates
Received: October 2014
First available in Project Euclid: 12 April 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1460463654

Digital Object Identifier
doi:10.1214/16-EJS1134

Mathematical Reviews number (MathSciNet)
MR3486425

Zentralblatt MATH identifier
1336.62142

Keywords
Copula characteristic function empirical copula process multiplier bootstrap quadratic functionals symmetry hypotheses

Citation

Quessy, Jean-François. A general framework for testing homogeneity hypotheses about copulas. Electron. J. Statist. 10 (2016), no. 1, 1064--1097. doi:10.1214/16-EJS1134. https://projecteuclid.org/euclid.ejs/1460463654


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