G-2006-31
Testing for Equality Between Two Copulas
and BibTeX reference
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.
Published May 2006 , 24 pages
Research Axis
Research application
Publication
Jan 2009
Testing for equality between two copulas
and
Journal of Multivariate Analysis, 100, 377–386, 2009
BibTeX reference