On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity

DOI10.1007/S00180-020-00994-0MaRDI QIDQ2666967zbMATH OpenOpenAlexFDO

Authors Miriam Jaser, Aleksey Min

Publication date 23 November 2021

Published in Computational Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00180-020-00994-0

zbMATH Keywords

asymptotic normalityelliptical copulasgoodness-of-fit testKendall's taunonparametric testsU-statistics

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A general framework for testing homogeneity hypotheses about copulas
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• An empirical analysis of multivariate copula models
• Asymptotic Properties of U-Statistics
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• Estimating the dimension of a model
• Fitting bivariate loss distributions with copulas
• Goodness-of-fit test for specification of semiparametric copula dependence models
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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• scientific article; zbMATH DE number 3073499 (Why is no real title available?)
• Monte Carlo methods and models in finance and insurance.
• Nonparametric Identification of Copula Structures
• Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
• On tests of radial symmetry for bivariate copulas
• Pair-copula constructions of multiple dependence
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• Simultaneous statistical inference. 2nd ed
• Tests of symmetry for bivariate copulas
• Understanding Relationships Using Copulas

Cited in

(6)

• Testing for equality between conditional copulas given discretized conditioning events
• A simple non-parametric goodness-of-fit test for elliptical copulas
• Tests of symmetry for bivariate copulas
• A nonparametric symmetry test for absolutely continuous bivariate copulas
• On tests of radial symmetry for bivariate copulas
• Testing symmetry for bivariate copulas using Bernstein polynomials

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Uses Software

• copula
• copula

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