High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-01-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/14/1/97 |
| _version_ | 1797490090287562752 |
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| author | Monica Billio Lorenzo Frattarolo Dominique Guégan |
| author_facet | Monica Billio Lorenzo Frattarolo Dominique Guégan |
| author_sort | Monica Billio |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-10T00:26:57Z |
| format | Article |
| id | doaj.art-b92c5790a08b4634af658f3cef624735 |
| institution | Directory Open Access Journal |
| issn | 2073-8994 |
| language | English |
| last_indexed | 2024-03-10T00:26:57Z |
| publishDate | 2022-01-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Symmetry |
| spelling | doaj.art-b92c5790a08b4634af658f3cef6247352023-11-23T15:33:22ZengMDPI AGSymmetry2073-89942022-01-011419710.3390/sym14010097High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. RandomizationMonica Billio0Lorenzo Frattarolo1Dominique Guégan2Department of Economics, University Ca’ Foscari of Venice, 30123 Venice, ItalyUnit B.1, Joint Research Centre (JRC), European Commission, 21027 Ispra, ItalyDepartment of Economics, University Ca’ Foscari of Venice, 30123 Venice, ItalyWe 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.https://www.mdpi.com/2073-8994/14/1/97copulareflection symmetryradial symmetryempirical processtest |
| spellingShingle | Monica Billio Lorenzo Frattarolo Dominique Guégan High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization Symmetry copula reflection symmetry radial symmetry empirical process test |
| title | High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization |
| title_full | High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization |
| title_fullStr | High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization |
| title_full_unstemmed | High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization |
| title_short | High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization |
| title_sort | high dimensional radial symmetry of copula functions multiplier bootstrap vs randomization |
| topic | copula reflection symmetry radial symmetry empirical process test |
| url | https://www.mdpi.com/2073-8994/14/1/97 |
| work_keys_str_mv | AT monicabillio highdimensionalradialsymmetryofcopulafunctionsmultiplierbootstrapvsrandomization AT lorenzofrattarolo highdimensionalradialsymmetryofcopulafunctionsmultiplierbootstrapvsrandomization AT dominiqueguegan highdimensionalradialsymmetryofcopulafunctionsmultiplierbootstrapvsrandomization |