A test for Archimedeanity in bivariate copula models

Alsina, 2006 Ben Ghorbal, 2009, On the Ghoudi, Khoudraji, and Rivest test for extreme-value dependence, Canad. J. Statist., 37, 534, 10.1002/cjs.10034 A. Bücher, Statistical inference for copulas and extremes, Ph.D. Thesis, Ruhr-Universität Bochum, Germany, 2011. Bücher, 2010, A note on bootstrap approximations for the empirical copula process, Statist. Probab. Lett., 80, 1925, 10.1016/j.spl.2010.08.021 Charpentier, 2009, Tails of multivariate Archimedean copulas, J. Multivariate Anal., 100, 1521, 10.1016/j.jmva.2008.12.015 Cook, 1986, Generalized Burr–Pareto-logistic distributions with applications to a uranium exploration data set, Technometrics, 28, 123, 10.1080/00401706.1986.10488113 Fermanian, 2004, Weak convergence of empirical copula processes, Bernoulli, 10, 847, 10.3150/bj/1099579158 Gänssler, 1987, vol. 9 Genest, 1986, Copules archimédiennes et familles de lois bidimensionnelles dont les marges sont données, Canad. J. Statist., 14, 145, 10.2307/3314660 Genest, 2011, Inference in multivariate Archimedean copula models, TEST, 20, 223, 10.1007/s11749-011-0250-6 Genest, 2006, Goodness-of-fit procedures for copula models based on the probability integral transformation, Scandinavian J. Statist., 33, 337, 10.1111/j.1467-9469.2006.00470.x Genest, 1989, A characterization of Gumbel’s family of extreme value distributions, Statist. Probab. Lett., 8, 207, 10.1016/0167-7152(89)90123-5 Genest, 1993, Statistical inference procedures for bivariate Archimedean copulas, J. Amer. Statist. Assoc., 88, 1034, 10.1080/01621459.1993.10476372 Genest, 2009, Rank-based inference for bivariate extreme-value copulas, Ann. Statist., 37, 2990, 10.1214/08-AOS672 Jaworski, 2010, Testing archimedeanity, vol. 77, 353 Joe, 1990, Families of min-stable multivariate exponential and multivariate extreme value distributions, Statist. Probab. Lett., 9, 75, 10.1016/0167-7152(90)90098-R Kosorok, 2008 Larsson, 2011, Extremal behavior of Archimedean copulas, Adv. Appl. Probab., 43, 195, 10.1239/aap/1300198519 Ling, 1965, Representation of associative functions, Publ. Math. Debrecen, 12, 189, 10.5486/PMD.1965.12.1-4.19 McNeil, 2009, Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions, Ann. Statist., 37, 3059, 10.1214/07-AOS556 Naifar, 2011, Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index, J. Comput. Appl. Math., 235, 2459, 10.1016/j.cam.2010.10.047 Nelsen, 2006 J.-F. Quessy, Testing for bivariate extreme dependence using Kendall’s process, Scand. J. Statist. (2011), in press (doi:10.1111/j.1467-9469.2011.00739.x). Rémillard, 2009, Testing for equality between two copulas, J. Multivariate Anal., 100, 377, 10.1016/j.jmva.2008.05.004 Rivest, 2001, A martingale approach to the copula-graphic estimator for the survival function under dependent censoring, J. Multivariate Anal., 79, 138, 10.1006/jmva.2000.1959 Rüschendorf, 1976, Asymptotic distributions of multivariate rank order statistics, Ann. Statist., 4, 912, 10.1214/aos/1176343588 Scaillet, 2005, A Kolmogorov–Smirnov type test for positive quadrant dependence, Canad. J. Statist., 33, 415, 10.1002/cjs.5540330307 J. Segers, Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions, 2010. arXiv:1012.2133v1. J. Segers, Asymptotics of empirical copula processes under nonrestrictive smoothness assumptions, 2011. arXiv:1012.2133v2. Sklar, 1959, Fonctions de répartition à n dimensions et leurs marges, Publ. Inst. Statist. Univ. Paris, 8, 229 Tsukahara, 2005, Semiparametric estimation in copula models, Canad. J. Statist., 33, 357, 10.1002/cjs.5540330304 van der Vaart, 1996 Wang, 2000, Model selection and semiparametric inference for bivariate failure-time data, J. Amer. Statist. Assoc., 95, 62, 10.1080/01621459.2000.10473899