Testing for equality between two copulas

Rémillard, Bruno; Scaillet, Olivier

doi:10.1016/j.jmva.2008.05.004

Scientific article

English

Testing for equality between two copulas

Contributors

Rémillard, Bruno; Scaillet, Olivier

Published in

Journal of Multivariate Analysis, vol. 100, no. 3, p. 377-386

Publication date

2009

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

UNIGE affiliation entities

Faculté d'économie et de management

UNIGE research groups

Geneva Finance Research Institute (GFRI)

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

Article (Accepted version)

Identifiers

PID : unige:79882
DOI : 10.1016/j.jmva.2008.05.004

Additional URL for this publication

http://linkinghub.elsevier.com/retrieve/pii/S0047259X0800136X

Journal ISSN

0047-259X

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31/10/2024 02:34:43

Testing for equality between two copulas

Contributors

Published in

Publication date

Abstract

Keywords

UNIGE affiliation entities

UNIGE research groups

Citation (ISO format)

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Identifiers

Additional URL for this publication

Journal ISSN

Technical informations

Creation

First validation

Update

Status update

Last indexation