Resampling Procedures with Empirical Beta Copulas
(2021) Pioneering Works on Extreme Value Theory : SpringerBriefs in Statistics — ISBN: [9789811607677], p. 27-53, published
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- Abstract
- The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is a genuine copula, from which it is particularly easy to sample, it is reasonable to expect that resampling procedures based on the empirical beta copula are expedient and accurate. In this paper, after reviewing the literature on some bootstrap approximations for the empirical copula process, we first show the asymptotic equivalence of several bootstrapped processes related to the empirical and empirical beta copulas. Then we investigate the finite-sample properties of resampling schemes based on the empirical (beta) copula by the Monte Carlo simulation. More specifically, we consider interval estimation for functionals such as the rank correlation coefficients and dependence parameters of several well-known families of copulas. Here, we construct confidence intervals using several methods and compare their accuracy and efficiency. We also compute the actual size and power of symmetry tests based on several resampling schemes for the empirical and empirical beta copulas.
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Citations
Kiriliouk, A., Segers, J., & Tsukahara, H. (2021). Resampling Procedures with Empirical Beta Copulas. In Nobuaki Hoshino, Shuhei Mano, Takaaki Shimura (ed.), Pioneering Works on Extreme Value Theory : SpringerBriefs in Statistics (p. p. 27-53). Springer. https://doi.org/10.1007/978-981-16-0768-4_2