Testing for equality between two copulas

Bruno Remillard () and Olivier Scaillet

Journal of Multivariate Analysis, 2009, vol. 100, issue 3, 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
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Citations: View citations in EconPapers (59)

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Working Paper: Testing For Equality Between Two Copulas (2007)
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