Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case

Given a d-dimensional random vector X = (X1, . . ., Xd), if the standard uniform vector U obtained by the component-wise probability integral transform (PIT) of X has the same distribution of its point reflection through the center of the unit hypercube, then X is said to have copula radial symmetry...

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Autores principales:	Billio Monica, Frattarolo Lorenzo, Guégan Dominique
Formato:	article
Lenguaje:	EN
Publicado:	De Gruyter 2021
Materias:	copula reflection symmetry radial symmetry empirical process 62g10 62g30 62h05 62h15 Science (General) Q1-390 Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/92dd703a094d44d6afd26f3c9ae087b4
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id	oai:doaj.org-article:92dd703a094d44d6afd26f3c9ae087b4
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spelling	oai:doaj.org-article:92dd703a094d44d6afd26f3c9ae087b42021-12-05T14:10:45ZMultivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case2300-229810.1515/demo-2021-0102https://doaj.org/article/92dd703a094d44d6afd26f3c9ae087b42021-05-01T00:00:00Zhttps://doi.org/10.1515/demo-2021-0102https://doaj.org/toc/2300-2298Given a d-dimensional random vector X = (X1, . . ., Xd), if the standard uniform vector U obtained by the component-wise probability integral transform (PIT) of X has the same distribution of its point reflection through the center of the unit hypercube, then X is said to have copula radial symmetry. We generalize to higher dimensions the bivariate test introduced in [11], using three different possibilities for estimating copula derivatives under the null. In a comprehensive simulation study, we assess the finite-sample properties of the resulting tests, comparing them with the finite-sample performance of the multivariate competitors introduced in [17] and [1].Billio MonicaFrattarolo LorenzoGuégan DominiqueDe Gruyterarticlecopulareflection symmetryradial symmetryempirical process62g1062g3062h0562h15Science (General)Q1-390MathematicsQA1-939ENDependence Modeling, Vol 9, Iss 1, Pp 43-61 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	copula reflection symmetry radial symmetry empirical process 62g10 62g30 62h05 62h15 Science (General) Q1-390 Mathematics QA1-939
spellingShingle	copula reflection symmetry radial symmetry empirical process 62g10 62g30 62h05 62h15 Science (General) Q1-390 Mathematics QA1-939 Billio Monica Frattarolo Lorenzo Guégan Dominique Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
description	Given a d-dimensional random vector X = (X1, . . ., Xd), if the standard uniform vector U obtained by the component-wise probability integral transform (PIT) of X has the same distribution of its point reflection through the center of the unit hypercube, then X is said to have copula radial symmetry. We generalize to higher dimensions the bivariate test introduced in [11], using three different possibilities for estimating copula derivatives under the null. In a comprehensive simulation study, we assess the finite-sample properties of the resulting tests, comparing them with the finite-sample performance of the multivariate competitors introduced in [17] and [1].
format	article
author	Billio Monica Frattarolo Lorenzo Guégan Dominique
author_facet	Billio Monica Frattarolo Lorenzo Guégan Dominique
author_sort	Billio Monica
title	Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
title_short	Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
title_full	Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
title_fullStr	Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
title_full_unstemmed	Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
title_sort	multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case
publisher	De Gruyter
publishDate	2021
url	https://doaj.org/article/92dd703a094d44d6afd26f3c9ae087b4
work_keys_str_mv	AT billiomonica multivariateradialsymmetryofcopulafunctionsfinitesamplecomparisonintheiidcase AT frattarololorenzo multivariateradialsymmetryofcopulafunctionsfinitesamplecomparisonintheiidcase AT guegandominique multivariateradialsymmetryofcopulafunctionsfinitesamplecomparisonintheiidcase
_version_	1718371766834823168

Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case

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