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Tests of multivariate copula exchangeability based on Lévy measures

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  • Tarik Bahraoui
  • Jean‐François Quessy

Abstract

This paper introduces tests for the symmetry of the copula of random vector. The proposed statistics are based on the copula characteristic function and the weight function that appears naturally in their definition are assumed to belong to the general family of Lévy measures. The proposed test statistics are rank‐based and expresses as weighted L2‐norms computed from a vector of empirical copula characteristic functions. Their nondegenerate asymptotic distributions under the null hypothesis and general alternatives, as well as the validity of a multiplier bootstrap for the computation of p‐values, are derived using nonstandard arguments. Extended Monte–Carlo experiments show that the new tests hold their size well and are powerful against a wide range of alternatives, and appear to be more powerful than a Cramér–von Mises test based on empirical copulas.

Suggested Citation

  • Tarik Bahraoui & Jean‐François Quessy, 2022. "Tests of multivariate copula exchangeability based on Lévy measures," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1215-1243, September.
    • Handle: RePEc:bla:scjsta:v:49:y:2022:i:3:p:1215-1243
    DOI: 10.1111/sjos.12557
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    References listed on IDEAS

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