A Szekely–Rizzo inequality for testing general copula homogeneity hypotheses

Jean-François Quessy

Journal of Multivariate Analysis, 2021, vol. 186, issue C

Abstract: This article extends to more than two vectors the popular moment inequality of Szekely and Rizzo and adapts it to test hypotheses about the copula of a multivariate population. The framework that is adopted is very general, as it allows one to test various kinds of hypotheses about the dependence structure of random vectors like symmetry, radial symmetry and equality of copulas. The proposed procedure is based on a V-statistic computed from the ranks of the observations. Its asymptotic distribution is derived under the null and general alternatives, and resampling is based on the multiplier bootstrap for degenerate V-statistics. A simulation study explores the sampling properties of the tests and compares with available methodologies.

Keywords: Equality of copulas; Multiplier bootstrap; Rank statistics; Symmetric dependence; V-statistics (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.jmva.2021.104815

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