arXiv 13 Nov 2019 · Econometrics · publishedEconometric Theory (2020) · 7 citations (OpenAlex)
arXiv:1911.05307 · PDF · DOI · OpenAlex · Extracted main text
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 margins. 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 to existing procedures involving the multiplier bootstrap.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Genest, C.\ and Neslehová, J.\ G (2014) On tests of radial symmetry for bivariate copulas | 0.965 | 10 | 6 | 90% |
| 2 | Genest, C., Neslehová, J.\ G.\ and Quessy, J.\ -F (2012) Tests of symmetry for bivariate copulas | 0.935 | 11 | 5 | 82% |
| 3 | Chung, E.\ and Romano, J.\ P (2013) Exact and asymptotically robust permutation tests | 0.874 | 5 | 2 | 100% |
| 4 | Kosorok, M.\ R (2008) Introduction to Empirical Processes and Semiparametric Inference | 0.860 | 11 | 3 | 64% |
| 5 | Bücher, A.\ and Dette, H (2010) A note on bootstrap approximations for the empirical copula process | 0.843 | 3 | 3 | 100% |
| 6 | Romano, J.\ P (1989) Bootstrap and randomization tests of some nonparametric hypotheses | 0.843 | 3 | 3 | 100% |
| 7 | Rémillard, B.\ and Scaillet, O (2009) Testing for equality between two copulas | 0.843 | 3 | 3 | 100% |
| 8 | Bahraoui, T.\ and Quessy, J.\ -F (2017) Tests of radial symmetry for multivariate copulas based on the copula characteristic function | 0.737 | 3 | 2 | 100% |
| 9 | Romano, J.\ P (1990) On the behavior of randomization tests without a group invariance assumption | 0.737 | 3 | 2 | 100% |
| 10 | Canay, I.\ A., Romano, J.\ P.\ and Shaikh, A (2017) Randomization tests under an approximate symmetry assumption | 0.644 | 4 | 1 | 100% |
Showing the top 10 of 52 scored citations.