Testing for equality between two copulas
Bruno Remillard () and
Olivier Scaillet ()
Journal of Multivariate Analysis, 2009, vol. 100, issue 3, 377-386
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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Working Paper: Testing For Equality Between Two Copulas (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:100:y:2009:i:3:p:377-386
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