Scientific article
OA Policy
English

Testing for Equality between Two Copulas

First online date2007
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 infinance, psychology, insurance and medicine.

Keywords
  • Copula
  • Cram´er-von Mises statistic
  • Empirical process
  • Pseudo- observations
  • Multiplier central limit theorem
  • P-value
Citation (ISO format)
REMILLARD, Bruno, SCAILLET, Olivier. Testing for Equality between Two Copulas. In: Journal of Multivariate Statistics, 2007, p. 21. doi: 10.2139/ssrn.1014550
Main files (1)
Article (Published version)
accessLevelPublic
Identifiers
Additional URL for this publicationhttps://www.ssrn.com/abstract=1014550
1views
0downloads

Technical informations

Creation12/08/2026 00:41:28
First validation12/08/2026 07:38:56
Update12/08/2026 07:38:56
Status update12/08/2026 07:38:56
Last indexation12/08/2026 07:38:57
All rights reserved by Archive ouverte UNIGE and the University of GenevaunigeBlack