G-2006-31
Testing for Equality Between Two Copulas
et référence BibTeX
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.
Paru en mai 2006 , 24 pages
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Publication
jan. 2009
Testing for equality between two copulas
et
Journal of Multivariate Analysis, 100, 377–386, 2009
référence BibTeX