Truncation invariant copulas and a testing procedure. (English) Zbl 1510.62226
Summary: The class of bivariate copulas that are invariant under truncation with respect to one variable is considered. A simulation algorithm for the members of the class and a novel construction method are presented. Moreover, inspired by a stochastic interpretation of the members of such a class, a procedure is suggested to check whether the dependence structure of a given data set is truncation invariant. The overall performance of the procedure has been illustrated on both simulated and real data.
MSC:
| 62H05 | Characterization and structure theory for multivariate probability distributions; copulas |
| 62G32 | Statistics of extreme values; tail inference |
| 62H20 | Measures of association (correlation, canonical correlation, etc.) |
| 62G10 | Nonparametric hypothesis testing |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
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