Nonparametric rank-based tests of bivariate extreme-value dependence

Abstract: A new class of tests of extreme-value dependence for bivariate copulas is proposed. It is based on the process comparing the empirical copula with a natural nonparametric rank-based estimator of the unknown copula under extreme-value dependence. A multiplier technique is used to compute approximate -values for several candidate test statistics. Extensive Monte Carlo experiments were carried out to compare the resulting procedures with the tests of extreme-value dependence recently studied in Ben Ghorbal et al. (2009) and Kojadinovic and Yan (2010) . The finite-sample performance study of the tests is complemented by local power calculations. [Copyright &y& Elsevier]