Copula-based measures of asymmetry between the lower and upper tail probabilities.

ABSTRACT: We propose a copula-based measure of asymmetry between the lower and upper tail probabilities of bivariate distributions. The proposed measure has a simple form and possesses some desirable properties as a measure of asymmetry. The limit of the proposed measure as the index goes to the boundary of its domain can be expressed in a simple form under certain conditions on copulas. A sample analogue of the proposed measure for a sample from a copula is presented and its weak convergence to a Gaussian process is shown. Another sample analogue of the presented measure, which is based on a sample from a distribution on R2 , is given. Simple methods for interval and region estimation are presented. A simulation study is carried out to investigate the performance of the proposed sample analogues an

SUBMITTER: Kato S 

PROVIDER: S-EPMC8898571 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature