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

DOI10.1007/S00362-016-0743-1zbMATH Open1383.62162OpenAlexW2253539339MaRDI QIDQ1685296FDOQ1685296

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

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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)

Cites Work

• Pair-copula constructions of multiple dependence
• Weak convergence and empirical processes. With applications to statistics
• Dependence Modeling with Copulas
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Truncated regular vines in high dimensions with application to financial data
• Title not available (Why is that?)
• Factor copula models for multivariate data
• A general theory for jackknife variance estimation
• Extremes of nonexchangeability
• MAX-stable models for multivariate extremes
• Tests of symmetry for bivariate copulas
• Test of symmetry based on copula function
• Measures of non-exchangeability for bivariate random vectors
• On tests of radial symmetry for bivariate copulas
• Nonparametric Identification of Copula Structures
• Tail order and intermediate tail dependence of multivariate copulas
• Measures of tail asymmetry for bivariate copulas
• Measures of radial asymmetry for bivariate random vectors
• \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas
• Tail-weighted measures of dependence

Cited In (10)

• Copula-based measures of asymmetry between the lower and upper tail probabilities
• RANDOMIZATION TESTS OF COPULA SYMMETRY
• A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses
• Copula diagnostics for asymmetries and conditional dependence
• Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
• Tests of symmetry for bivariate copulas
• 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

Uses Software

• CopulaModel

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