Visualization and Assessment of Copula Symmetry

TL;DR

This paper presents a novel visualization and testing method for copula symmetry in multivariate data, using functional boxplots and rank-based tests to assess various symmetry properties.

Contribution

It introduces an innovative approach combining functional boxplots with nonparametric tests to evaluate copula symmetry characteristics.

Findings

Effective visualization of copula structures using functional boxplots.

Nonparametric tests reliably detect deviations from symmetry.

Method validated through extensive simulations and real data applications.

Abstract

Visualization and assessment of copula structures are crucial for accurately understanding and modeling the dependencies in multivariate data analysis. In this paper, we introduce an innovative method that employs functional boxplots and rank-based testing procedures to evaluate copula symmetry. This approach is specifically designed to assess key characteristics such as reflection symmetry, radial symmetry, and joint symmetry. We first construct test functions for each specific property and then investigate the asymptotic properties of their empirical estimators. We demonstrate that the functional boxplot of these sample test functions serves as an informative visualization tool of a given copula structure, effectively measuring the departure from zero of the test function. Furthermore, we introduce a nonparametric testing procedure to assess the significance of deviations from symmetry, ensuring the accuracy and reliability of our visualization method. Through extensive simulation studies involving various copula models, we demonstrate the effectiveness of our testing approach. Finally, we apply our visualization and testing techniques to two real-world datasets: a nutritional habits survey with five variables and wind speed data from three locations in Saudi Arabia.