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High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization

Author

Listed:
  • Monica Billio

    (University of Ca’ Foscari [Venice, Italy])

  • Lorenzo Frattarolo

    (JRC - European Commission - Joint Research Centre [Ispra])

  • Dominique Guégan

    (University of Ca’ Foscari [Venice, Italy], CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, UP1 - Université Paris 1 Panthéon-Sorbonne)

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.

Suggested Citation

  • Monica Billio & Lorenzo Frattarolo & Dominique Guégan, 2022. "High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-04085236, HAL.
    • Handle: RePEc:hal:cesptp:hal-04085236
    DOI: 10.3390/sym14010097
    Note: View the original document on HAL open archive server: https://hal.science/hal-04085236
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    References listed on IDEAS

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