Scientific article
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English

Testing for equality between two copulas

Published inJournal of Multivariate Analysis, vol. 100, no. 3, p. 377-386
Publication date2009
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
  • Copula
  • Cram ́er-von Mises statistic
  • Empirical process
  • Pseudo- observations
  • Multiplier central limit theorem
  • P-value
Citation (ISO format)
RÉMILLARD, Bruno, SCAILLET, Olivier. Testing for equality between two copulas. In: Journal of Multivariate Analysis, 2009, vol. 100, n° 3, p. 377–386. doi: 10.1016/j.jmva.2008.05.004
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Article (Accepted version)
accessLevelPublic
Identifiers
Journal ISSN0047-259X
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