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 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.

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Year of publication:	2009
Authors:	Rémillard, Bruno ; Scaillet, Olivier
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 100.2009, 3, p. 377-386
Publisher:	Elsevier
Subject:	primary \| 60F05 secondary \| 62E20 Copula Cramer-von Mises statistic Empirical process Pseudo-observations Multiplier central limit theorem p-value

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005199360