EconPapers    
Economics at your fingertips  
 

Testing for equality between two copulas

Bruno Remillard () and Olivier Scaillet ()

Journal of Multivariate Analysis, 2009, vol. 100, issue 3, pages 377-386

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)
Date: 2009
References: Add references at CitEc
Citations View citations in EconPapers (15) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/B6WK9 ... b7e8702312d6bf6b1fd7
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Testing For Equality Between Two Copulas (2006) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:eee:jmvana:v:100:y:2009:i:3:p:377-386

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by J. de Leeuw

More articles in Journal of Multivariate Analysis from Elsevier
Series data maintained by Zhang, Lei ().

 
Page updated 2014-12-05
Handle: RePEc:eee:jmvana:v:100:y:2009:i:3:p:377-386