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.

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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

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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://ebvufind01.dmz1.zbw.eu/10005534205