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

Pavel Krupskii ()
Additional contact information
Pavel Krupskii: University of British Columbia

Statistical Papers, 2017, vol. 58, issue 4, No 10, 1165-1187

Abstract: Abstract We propose measures of copula reflection and permutation asymmetry for data with positive quadrant dependence. We first define the measures of reflection asymmetry using a weighting function and then extend this approach to construct measures of permutation asymmetry for bivariate data. We define the corresponding statistical tests based on these measures and find that the proposed tests have higher statistical power comparing to some other tests for permutation and reflection symmetry studied in the literature. In addition, the measures can be used to summarize dependence structure of a multivariate data set in a few numbers and to select a more appropriate copula in the model.

Keywords: Measure of asymmetry; Reflection asymmetry; Permutation asymmetry; Copula; Empirical process; 62G10; 62H20 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://link.springer.com/10.1007/s00362-016-0743-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:stpapr:v:58:y:2017:i:4:d:10.1007_s00362-016-0743-1

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

DOI: 10.1007/s00362-016-0743-1

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().