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We use a recently proposed fast test of copula radial symmetry based on multiplier bootstrap and obtain an equivalent randomization test. The literature shows the statistical superiority of the randomization… Click to show full abstract
We use a recently proposed fast test of copula radial symmetry based on multiplier bootstrap and obtain an equivalent randomization test. The literature shows the statistical superiority of the randomization approach in the bivariate case. We extend the comparison of statistical performance focusing on the high-dimensional regime in a simulation study. We document radial asymmetry in the joint distribution of the percentage changes of sectorial industrial production indices of the European Union.
Keywords:
randomization;
copula;
multiplier bootstrap;
high dimensional;
symmetry;
radial symmetry
Journal Title: Symmetry
Year Published: 2022
Link to full text (if available)
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Journal Title: Symmetry
Year Published: 2022
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!