A measure of radial asymmetry for bivariate copulas based on Sobolev norm

Year 2018, Volume: 47 Issue: 3, 649 - 658, 01.06.2018

Ahmad Alikhani-vafa Ali Dolati

Abstract

The modified Sobolev norm is used to construct an index for measuring the degree of radial asymmetry of a copula. We study various aspects of this index and discuss its rank-based estimator. Through simulation and a real data example, we compare the proposed index with the other radial asymmetry measures.

Keywords

Bivariate symmetry, Copula, Empirical process, Radial asymmetry, Sobolev norm

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