Copula-based measures and tests for conditional asymmetry

被引：1
作者：
Mokhtari, E. [1 ]
Dolati, A. [1 ]
Dastbaravarde, A. [1 ]
机构：
[1] Yazd Univ, Dept Stat, Yazd, Iran
来源：
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2025年 / 54卷 / 01期
关键词：
Bivariate symmetry; Conditional symmetry; Copula; Test; LEAST-SQUARES ESTIMATION; ADAPTIVE ESTIMATION; NONPARAMETRIC-TESTS; CONSISTENT TEST; SYMMETRY; DEPENDENCE; MODELS;
D O I：
10.1080/03610918.2023.2244703
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we develop copula-based measures and testing procedures for the conditional asymmetry of a random variable given another. The resulting tests are ranked based and thus robust to the outliers. The asymptotic properties of the test statistics are investigated. Simulation studies and real data analysis are conducted to illustrate the performance of the proposed tests.
引用
收藏
页码：1 / 22
页数：22
相关论文
共 50 条
  • [21] Conditionalization of Copula-Based Models
    Kurowicka, Dorota
    DECISION ANALYSIS, 2012, 9 (03) : 219 - 230
  • [22] GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
    Berghaus, Betina
    Buecher, Axel
    ECONOMETRIC THEORY, 2017, 33 (02) : 292 - 330
  • [23] Tests of multivariate copula exchangeability based on Levy measures
    Bahraoui, Tarik
    Quessy, Jean-Francois
    SCANDINAVIAN JOURNAL OF STATISTICS, 2022, 49 (03) : 1215 - 1243
  • [24] Copula-based seasonal rainfall simulation considering nonstationarity
    Xu, Pengcheng
    Wang, Dong
    Singh, Vijay P.
    Lu, Huayu
    Wang, Yuankun
    Wu, Jichun
    Wang, Lachun
    Liu, Jiufu
    Zhang, Jianyun
    JOURNAL OF HYDROLOGY, 2020, 590
  • [25] Copula-based fuzzy clustering of spatial time series
    Disegna, Marta
    D'Urso, Pierpaolo
    Durante, Fabrizio
    SPATIAL STATISTICS, 2017, 21 : 209 - 225
  • [26] Copula-based link functions in binary regression models
    Mesfioui, M.
    Bouezmarni, T.
    Belalia, M.
    STATISTICAL PAPERS, 2023, 64 (02) : 557 - 585
  • [27] A Copula-Based Stochastic Frontier Model for Financial Pricing
    Tibprasorn, Phachongchit
    Autchariyapanitkul, Kittawit
    Chaniam, Somsak
    Sriboonchitta, Songsak
    INTEGRATED UNCERTAINTY IN KNOWLEDGE MODELLING AND DECISION MAKING, IUKM 2015, 2015, 9376 : 151 - 162
  • [28] EFFICIENT ESTIMATION OF COPULA-BASED SEMIPARAMETRIC MARKOV MODELS
    Chen, Xiaohong
    Wu, Wei Biao
    Yi, Yanping
    ANNALS OF STATISTICS, 2009, 37 (6B) : 4214 - 4253
  • [29] Improving copula-based spatial interpolation with secondary data
    Gnann, Sebastian J.
    Allmendinger, Max C.
    Haslauer, Claus P.
    Bardossy, Andras
    SPATIAL STATISTICS, 2018, 28 : 105 - 127
  • [30] A copula-based approach for generating lattices
    Wang, Tianyang
    Dyer, James S.
    Hahn, Warren J.
    REVIEW OF DERIVATIVES RESEARCH, 2015, 18 (03) : 263 - 289
12345