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 Cramér-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.

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Year of publication:	2008-04-01
Authors:	Rémillard, Bruno ; Scaillet, Olivier
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Empirischer Prozess \| Kopula <Mathematik> \| Copulas \| Zentraler Grenzwertsatz

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Extent:	250880 bytes 22 p. application/pdf
Series:	Universität Zürich - Institut für schweizerisches Bankwesen Working paper ; 411 (2008)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; Empirical research. of corporate finance and investment policy ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858034