Testing For Equality Between Two Copulas

Bruno Remillard () and Olivier Scaillet

No 07-24, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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 Cram´er-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: Copula; Cram´er-von Mises statistic; empirical process; pseudo-observations; multiplier central limit theorem; p-value. (search for similar items in EconPapers)
JEL-codes: C12 C14 C15 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2007-06
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Testing for equality between two copulas (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0724

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