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7 janvier 2022
- handle: 10670/1.l6y2gw
- hal: hal-04085236
- doi: 10.3390/sym14010097
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info:eu-repo/semantics/altIdentifier/doi/10.3390/sym14010097
info:eu-repo/semantics/OpenAccess
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copula reflection symmetry radial symmetry empirical process test copula reflection symmetry radial symmetry empirical process testSujets proches
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Monica Billio et al., « High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization », HAL-SHS : économie et finance, ID : 10.3390/sym14010097
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Résumé
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.