Testing the symmetry of a dependence structure with a characteristic function

Autor: Bahraoui Tarik, Bouezmarni Taoufik, Quessy Jean-François

Publikováno v: Dependence Modeling, Vol 6, Iss 1, Pp 331-355 (2018)

This paper proposes competing procedures to the tests of symmetry for bivariate copulas of Genest, Nešlehová and Quessy (2012). To this end, the null hypothesis of symmetry is expressed in terms of the copula characteristic function that uniquely d

Externí odkaz: https://doaj.org/article/2faa86c608894ed38e70136cc7a15eae

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Dependence properties and Bayesian inference for asymmetric multivariate copulas

Autor: Julyan Arbel, Marta Crispino, Stéphane Girard

Publikováno v: HAL
CMStatistics 2019-12th International Conference of the ERCIM WG on Computational and Methodological Statistics
CMStatistics 2019-12th International Conference of the ERCIM WG on Computational and Methodological Statistics, Dec 2019, London, United Kingdom
Journal of Multivariate Analysis
Journal of Multivariate Analysis, Elsevier, 2019, 174, pp.104530:1-20. ⟨10.1016/j.jmva.2019.06.008⟩
Journal of Multivariate Analysis, 2019, 174, pp.104530:1-20. ⟨10.1016/j.jmva.2019.06.008⟩

International audience; We study a broad class of asymmetric copulas introduced by Liebscher (2008) as a combination of multiple – usually symmetric – copulas. The main thrust of the paper is to provide new theoretical properties including exact

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0589c696b9c2e5e63666bb7237d9369d
https://hal.archives-ouvertes.fr/hal-02413948