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Tests of symmetry for bivariate copulas

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  • Christian Genest
  • Johanna Nešlehová
  • Jean-François Quessy

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  • Christian Genest & Johanna Nešlehová & Jean-François Quessy, 2012. "Tests of symmetry for bivariate copulas," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(4), pages 811-834, August.
    • Handle: RePEc:spr:aistmt:v:64:y:2012:i:4:p:811-834
    DOI: 10.1007/s10463-011-0337-6
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    References listed on IDEAS

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    1. Genest, Christian & Segers, Johan, 2010. "On the covariance of the asymptotic empirical copula process," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1837-1845, September.
    2. Hilton, Joan F. & Gee, Lauren, 1997. "The size and power of the exact bivariate symmetry test," Computational Statistics & Data Analysis, Elsevier, vol. 26(1), pages 53-69, November.
    3. Bücher, Axel & Dette, Holger, 2010. "A note on bootstrap approximations for the empirical copula process," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1925-1932, December.
    4. Genest, Christian & Segers, Johan, 2010. "On the covariance of the asymptotic empirical copula process," LIDAM Reprints ISBA 2010017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Rémillard, Bruno & Scaillet, Olivier, 2009. "Testing for equality between two copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
    6. Segers, Johan, 2012. "Asymptotics of empirical copula processes under non-restrictive smoothness assumptions," LIDAM Reprints ISBA 2012009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
    8. Roger Nelsen, 2007. "Extremes of nonexchangeability," Statistical Papers, Springer, vol. 48(4), pages 695-695, October.
    9. McNeil, Alexander J. & Neslehová, Johanna, 2010. "From Archimedean to Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1772-1790, September.
    10. Carabarin-Aguirre, Alberto & Ivanoff, B. Gail, 2010. "Estimation of a distribution under generalized censoring," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1501-1519, July.
    11. Genest, Christian & Segers, Johan, 2010. "On the covariance of the asymptotic empirical copula process," LIDAM Reprints ISBA 2010038, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    13. Fang, Hong-Bin & Fang, Kai-Tai & Kotz, Samuel, 2002. "The Meta-elliptical Distributions with Given Marginals," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 1-16, July.
    14. Hilton, Joan F., 2000. "A new asymptotic distribution for Hollander's bivariate symmetry statistic," Computational Statistics & Data Analysis, Elsevier, vol. 32(3-4), pages 455-463, January.
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