Testing for a $$\delta $$ δ -neighborhood of a generalized Pareto copula

Abstract

A multivariate distribution function F is in the max-domain of attraction of an extreme value distribution if and only if this is true for the copula corresponding to F and its univariate margins. Aulbach et al. (Bernoulli 18(2), 455–475, 2012. https://doi.org/10.3150/10-BEJ343 ) have shown that a copula satisfies the extreme value condition if and only if the copula is tail equivalent to a generalized Pareto copula (GPC). In this paper, we propose a $$\chi ^2$$ -goodness-of-fit test in arbitrary dimension for testing whether a copula is in a certain neighborhood of a GPC. The test can be applied to stochastic processes as well to check whether the corresponding copula process is close to a generalized Pareto process. Since the p value of the proposed test is highly sensitive to a proper selection of a certain threshold, we also present graphical tools that make the decision, whether or not to reject the hypothesis, more comfortable.