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Title

Testing for equality between two copulas

Authors
Rémillard, Bruno
Published in Journal of Multivariate Analysis. 2009, vol. 100, no. 3, p. 377-386
Abstract We develop a test of equality between two dependence structures esti- mated 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.
Keywords CopulaCram ́er-von Mises statisticEmpirical processPseudo- observationsMultiplier central limit theoremP-value
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Research group Geneva Finance Research Institute (GFRI)
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RÉMILLARD, Bruno, SCAILLET, Olivier. Testing for equality between two copulas. In: Journal of Multivariate Analysis, 2009, vol. 100, n° 3, p. 377-386. https://archive-ouverte.unige.ch/unige:79882

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Deposited on : 2016-01-22

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