Copula-based measures of reflection and permutation asymmetry and statistical tests
type: Item
instance of: scholarly article
title: Copula-based measures of reflection and permutation asymmetry and statistical tests
zbMATH Open document ID: 1383.62162
author: Pavel Krupskii
published in: Statistical Papers
publication date: 2017-12-13T00:00:00Z
review text: Stating first desirable properties for indicators of asymmetry, measures of reflection and permutation asymmetry are proposed for copula functions. These measure are used then as a tool for selecting appropriate linking copulas in case of data with positive quadrant dependence. After the definition of measures of reflection asymmetry, also measures of permutation asymmetry for bivariate data are given. Statistical tests based on the proposed measures of asymmetry are presented. Applications to the analysis of an empirical data set from finance are given.
reviewed by: Kurt Marti
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62G10
Mathematics Subject Classification ID: 62H20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6818221
zbMATH Keywords: copula functions
zbMATH Keywords: measures for asymmetry
describes a project that uses: CopulaModel
MaRDI profile type: Publication
full work available at URL: s00362-016-0743-1
OpenAlex ID: W2253539339
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DOI: 10.1007/S00362-016-0743-1
description: scientific article; zbMATH DE number 6818221