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...

Three semiparametric methods for estimating dependence parameters in copula models are compared, namely maximum pseudo-likelihood estimation and the two method-of-moment approaches based on the inversion of Spearman's rho and Kendall's tau. For each of these three asymptotically normal...

The copula-based modeling of multivariate distributions with continuous margins is presented as a succession of rank-based tests: a multivariate test of randomness followed by a test of mutual independence and a series of goodness-of-fit tests. All the tests under consideration are based on the...