Title of article :
Testing for equality between two copulas
Author/Authors :
Rémillard، نويسنده , , Bruno and Scaillet، نويسنده , , Olivier، نويسنده ,
Issue Information :
دوفصلنامه با شماره پیاپی سال 2009
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 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.
Keywords :
primary60F05 , secondary62E20 , Copula , Empirical process , Cramér–von Mises statistic , Pseudo-observations , Multiplier central limit theorem , p -value
Journal title :
Journal of Multivariate Analysis
Journal title :
Journal of Multivariate Analysis