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Randomization Tests Of Copula Symmetry

Author

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  • Beare, Brendan K.
  • Seo, Juwon
Abstract
New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance conditions associated with the relevant symmetry hypothesis. They may be viewed as feasible versions of randomization tests of symmetry, the latter being inapplicable due to the unobservability of marginals. Our tests are simple to compute, control size asymptotically, consistently detect arbitrary forms of asymmetry, and do not require the specification of a tuning parameter. Simulations indicate excellent small sample properties compared with existing procedures involving the multiplier bootstrap.

Suggested Citation

  • Beare, Brendan K. & Seo, Juwon, 2020. "Randomization Tests Of Copula Symmetry," Econometric Theory, Cambridge University Press, vol. 36(6), pages 1025-1063, December.
    • Handle: RePEc:cup:etheor:v:36:y:2020:i:6:p:1025-1063_2
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    Cited by:

    1. Monica Billio & Lorenzo Frattarolo & Dominique Guégan, 2022. "High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization," Post-Print hal-04085236, HAL.
    2. Quessy, Jean-François, 2021. "A Szekely–Rizzo inequality for testing general copula homogeneity hypotheses," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    3. Juwon Seo, 2018. "Randomization Tests for Equality in Dependence Structure," Papers 1811.02105, arXiv.org.

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