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.
High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization
Billio M.;
2022-01-01
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.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in ARCA sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.