Copula-based measures of reflection and permutation asymmetry and statistical tests

DOI10.1007/S00362-016-0743-1MaRDI QIDQ1685296zbMATH OpenOpenAlexFDO

Authors Pavel Krupskii

Publication date 13 December 2017

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-016-0743-1

zbMATH Keywords

copula functionsmeasures for asymmetry

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• A general theory for jackknife variance estimation
• Dependence modeling with copulas
• Extremes of nonexchangeability
• Factor copula models for multivariate data
• MAX-stable models for multivariate extremes
• Measures of non-exchangeability for bivariate random vectors
• Measures of radial asymmetry for bivariate random vectors
• Measures of tail asymmetry for bivariate copulas
• Nonparametric Identification of Copula Structures
• On tests of radial symmetry for bivariate copulas
• Pair-copula constructions of multiple dependence
• Tail order and intermediate tail dependence of multivariate copulas
• Tail-weighted measures of dependence
• Test of symmetry based on copula function
• Tests of symmetry for bivariate copulas
• Truncated regular vines in high dimensions with application to financial data
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Weak convergence and empirical processes. With applications to statistics
• \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas

Cited in

(14)

• Copula-based measures of asymmetry between the lower and upper tail probabilities
• A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses
• Copula diagnostics for asymmetries and conditional dependence
• A copula-based index to measure directional reflection asymmetry for trivariate copulas
• Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
• Tests of symmetry for bivariate copulas
• Testing asymmetry in dependence with copula-coskewness
• Randomization tests of copula symmetry
• Measures of tail asymmetry for bivariate copulas
• An order of asymmetry in copulas, and implications for risk management
• Testing symmetry around a subspace
• Asymmetric tail dependence modeling, with application to cryptocurrency market data
• New measure of the bivariate asymmetry
• Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case

Describes a project that uses

Uses Software

• CopulaModel

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