Title: Evaluating the power and significance levels of tests of copula symmetry
Authors: Alphonce Bere - University of Venda (South Africa) [presenting]
Abstract: The power and significance levels of tests of copula symmetry/exchangeability are evaluated through a simulation study using copula models not previously considered. Khoudraji's device is used to obtain asymmetric versions of the copulas which are used in the power study. As in previous studies, it is shown that, for small sample sizes, the tests do not hold their nominal levels, that the Cramer-von Misus type statistics are the most powerful and that the power increases with sample size and degree of asymmetry in the data. Contrary to previous findings, our results do not reveal any hierarchy in terms of the power of the Jasson-type tests.