High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization

Symmetry

Dominique Guégan¹  Monica Billio¹  Lorenzo Frattarolo² 

[1] Department of Economics, University Ca’ Foscari of Venice, 30123 Venice, Italy;Unit B.1, Joint Research Centre (JRC), European Commission, 21027 Ispra, Italy;

关键词: copula;    reflection symmetry;    radial symmetry;    empirical process;    test;   

DOI  :  10.3390/sym14010097

来源: DOAJ

【 摘 要 】

We use a recently proposed fast test of copula radial symmetry based on multiplier bootstrap and obtain an equivalent randomization test. The literature shows the statistical superiority of the randomization approach in the bivariate case. We extend the comparison of statistical performance focusing on the high-dimensional regime in a simulation study. We document radial asymmetry in the joint distribution of the percentage changes of sectorial industrial production indices of the European Union.

【 授权许可】

Unknown