Kojadinovic, Ivan; Yan, Jun - In: Journal of Multivariate Analysis 101 (2010) 9, pp. 2234-2249
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...