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Tests of symmetry for bivariate copulas

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  • Christian Genest

    ()

  • Johanna Nešlehová

    ()

  • Jean-François Quessy

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10463-011-0337-6
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    Bibliographic Info

    Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

    Volume (Year): 64 (2012)
    Issue (Month): 4 (August)
    Pages: 811-834

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    Handle: RePEc:spr:aistmt:v:64:y:2012:i:4:p:811-834

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    Web page: http://www.springerlink.com/link.asp?id=102845

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    Related research

    Keywords: Empirical copula process; Exchangeability; Multiplier Central Limit Theorem; Ranks; Symmetry;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Roger Nelsen, 2007. "Extremes of nonexchangeability," Statistical Papers, Springer, Springer, vol. 48(4), pages 695-695, October.
    2. Genest, Christian & Segers, Johan, 2010. "On the covariance of the asymptotic empirical copula process," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1837-1845, September.
    3. Hilton, Joan F. & Gee, Lauren, 1997. "The size and power of the exact bivariate symmetry test," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 26(1), pages 53-69, November.
    4. Fang, Hong-Bin & Fang, Kai-Tai & Kotz, Samuel, 2002. "The Meta-elliptical Distributions with Given Marginals," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 1-16, July.
    5. Hilton, Joan F., 2000. "A new asymptotic distribution for Hollander's bivariate symmetry statistic," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 32(3-4), pages 455-463, January.
    6. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    7. McNeil, Alexander J. & Neslehová, Johanna, 2010. "From Archimedean to Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1772-1790, September.
    8. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
    9. Rémillard, Bruno & Scaillet, Olivier, 2009. "Testing for equality between two copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
    10. Bücher, Axel & Dette, Holger, 2010. "A note on bootstrap approximations for the empirical copula process," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1925-1932, December.
    11. Carabarin-Aguirre, Alberto & Ivanoff, B. Gail, 2010. "Estimation of a distribution under generalized censoring," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1501-1519, July.
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    Cited by:
    1. Bücher, Axel & Volgushev, Stanislav, 2013. "Empirical and sequential empirical copula processes under serial dependence," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 61-70.
    2. Quessy, Jean-François & Éthier, François, 2012. "Cramér–von Mises and characteristic function tests for the two and k-sample problems with dependent data," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(6), pages 2097-2111.
    3. Azam Dehgani & Ali Dolati & Manuel Úbeda-Flores, 2013. "Measures of radial asymmetry for bivariate random vectors," Statistical Papers, Springer, Springer, vol. 54(2), pages 271-286, May.
    4. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.

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