| Autor: |
Bahraoui Tarik, Bouezmarni Taoufik, Quessy Jean-François |
| Jazyk: |
angličtina |
| Rok vydání: |
2018 |
| Předmět: |
|
| Zdroj: |
Dependence Modeling, Vol 6, Iss 1, Pp 331-355 (2018) |
| Druh dokumentu: |
article |
| ISSN: |
2300-2298 |
| DOI: |
10.1515/demo-2018-0019 |
| Popis: |
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 determines the copula of a given bivariate population with continuous marginal distributions. Then, test statistics based on L2 weighted distances computed from an empirical version of the copula characteristic function are proposed. Their asymptotic behavior is derived under the null hypothesis as well as under general alternatives. In particular, it is established that these rank statistics behave asymptotically as first-order degenerate V-statistics under the null hypothesis and this large-sample representation is exploited in order to provide suitably adapted multiplier bootstrap versions for the computation of p-values. The simulations that are reported show that the new tests are more powerful than the competing methods based on the empirical copula introduced by Genest, Nešlehová and Quessy (2012). |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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