Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
Given a d-dimensional random vector X = (X1, . . . , Xd), if the standard uniform vector U obtained by the component-wise probability integral transform (PIT) of X has the same distribution of its point reflection through the center of the unit hypercube, then X is said to have copula radial symmetry.We generalize to higher dimensions the bivariate test introduced in [11], using three different possibilities for estimating copula derivatives under the null. In a comprehensive simulation study, we assess the finite-sample properties of the resulting tests, comparing them with the finite-sample performance of the multivariate competitors introduced in [17] and [1].
BILLIO Monica;
FRATTAROLO Lorenzo;
GUÉGAN Dominique;
2021-05-31
De Gruyter Open Ltd.
JRC120964
2300-2298 (online),
https://www.degruyter.com/document/doi/10.1515/demo-2021-0102/html,
https://publications.jrc.ec.europa.eu/repository/handle/JRC120964,
10.1515/demo-2021-0102 (online),
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