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

DOI10.1007/s00362-016-0743-1zbMath1383.62162OpenAlexW2253539339MaRDI QIDQ1685296

Pavel Krupskii

Publication date: 13 December 2017

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0743-1

zbMATH Keywords

copula functionsmeasures for asymmetry

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (9)

Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models ⋮ Copula diagnostics for asymmetries and conditional dependence ⋮ Asymmetric tail dependence modeling, with application to cryptocurrency market data ⋮ Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case ⋮ A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses ⋮ New measure of the bivariate asymmetry ⋮ Testing symmetry around a subspace ⋮ RANDOMIZATION TESTS OF COPULA SYMMETRY ⋮ Copula-based measures of asymmetry between the lower and upper tail probabilities

Uses Software

• CopulaModel

Cites Work

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