Tests of multivariate copula exchangeability based on Lévy measures

This paper introduces tests for the symmetry of the copula of random vector. The proposed statistics are based on the copula characteristic function and the weight function that appears naturally in their definition are assumed to belong to the general family of Lévy measures. The proposed test stat...

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Bibliographic Details
Published in:Scandinavian journal of statistics 2022-09, Vol.49 (3), p.1215-1243
Main Authors: Bahraoui, Tarik, Quessy, Jean‐François
Format: Article
Language:English
Subjects:
Characteristic functions
Norms
parametric bootstrap
ranks
semi‐parametric estimation
Statistical tests
U and V‐statistics
Weighting functions
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Summary:This paper introduces tests for the symmetry of the copula of random vector. The proposed statistics are based on the copula characteristic function and the weight function that appears naturally in their definition are assumed to belong to the general family of Lévy measures. The proposed test statistics are rank‐based and expresses as weighted L2‐norms computed from a vector of empirical copula characteristic functions. Their nondegenerate asymptotic distributions under the null hypothesis and general alternatives, as well as the validity of a multiplier bootstrap for the computation of p‐values, are derived using nonstandard arguments. Extended Monte–Carlo experiments show that the new tests hold their size well and are powerful against a wide range of alternatives, and appear to be more powerful than a Cramér–von Mises test based on empirical copulas.
ISSN:0303-6898
1467-9469
DOI:10.1111/sjos.12557