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RANDOMIZATION TESTS OF COPULA SYMMETRY
Published online by Cambridge University Press: 06 April 2020
Abstract
New nonparametric tests of copula exchangeability and radial symmetry are proposed. The novel aspect of the tests is a resampling procedure that exploits group invariance conditions associated with the relevant symmetry hypothesis. They may be viewed as feasible versions of randomization tests of symmetry, the latter being inapplicable due to the unobservability of marginals. Our tests are simple to compute, control size asymptotically, consistently detect arbitrary forms of asymmetry, and do not require the specification of a tuning parameter. Simulations indicate excellent small sample properties compared with existing procedures involving the multiplier bootstrap.
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- © Cambridge University Press 2020
Footnotes
We thank Xiaohong Chen, Viktor Todorov, and seminar participants at the University of Seville, Korea University, and Yonsei University for helpful comments.
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