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Title:

On tests for symmetry and radial symmetry of bivariate copulas towards testing for ellipticity

Document type:
Zeitschriftenaufsatz
Author(s):
Jaser, M.; Min, A.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
Very simple non-parametric tests are proposed to detect symmetry and radial symmetry in the dependence structure of bivariate copula data. The performance of the proposed tests is illustrated in an intensive simulation study and compared to the one of similar more advanced tests, which do not require known margins. Further, a powerful non-parametric testing procedure to decide whether the dependence structure of the underlying bivariate copula data may be captured by an elliptical copula is prov...     »
Keywords:
Asymptotic normality, Elliptical copulas, Goodness-of-fit test, Kendall’s tau, Non-parametric tests, U-statistics
Intellectual Contribution:
Discipline-based Research
Journal title:
Computational Statistics
Journal listet in FT50 ranking:
nein
Year:
2020
Fulltext / DOI:
doi:10.1007/s00180-020-00994-0
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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