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

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

BILLIO Monica;  FRATTAROLO Lorenzo;  GUÉGAN Dominique; 

2022-01-13

MDPI

JRC127824

2073-8994 (online),