High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization

Monica Billio, Lorenzo Frattarolo and Dominique Guégan ()
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Lorenzo Frattarolo: JRC - European Commission - Joint Research Centre [Ispra]
Dominique Guégan: University of Ca’ Foscari [Venice, Italy], CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, UP1 - Université Paris 1 Panthéon-Sorbonne

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: 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.

Keywords: copula; reflection symmetry; radial symmetry; empirical process; test; copula reflection symmetry radial symmetry empirical process test (search for similar items in EconPapers)
Date: 2022-01-07
New Economics Papers: this item is included in nep-ecm
Note: View the original document on HAL open archive server: https://hal.science/hal-04085236v1
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Citations: View citations in EconPapers (1)

Published in Symmetry, 2022, 14 (1), pp.97. ⟨10.3390/sym14010097⟩

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Working Paper: High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-04085236

DOI: 10.3390/sym14010097

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