Testing For Equality Between Two Copulas

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.

MoreLess

Year of publication:	2006-06
Authors:	Rémillard, Bruno ; Scaillet, Olivier
Subject:	Copula \| Cram´er-von Mises statistic \| empirical process \| pseudo-observations \| multiplier central limit theorem \| p-value

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Swiss Finance Institute Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 07-24 24 pages
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005534205