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Testing for equality between two copulas
Bruno Remillard ()
Olivier Scaillet , 2009, vol. 100, issue 3, pages 377-386
Journal of Multivariate Analysis Abstract:
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramer-von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing procedure on empirical examples in finance, psychology, insurance and medicine.
Keywords: primary; 60F05 secondary; 62E20 Copula Cramer-von Mises statistic Empirical process Pseudo-observations Multiplier central limit theorem p-value (search for similar items in EconPapers)
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Related works: Working Paper: Testing For Equality Between Two Copulas (2006) This item may be available elsewhere in EconPapers: Search for items with the same title.
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