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Testing for equality between two copulas

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Author Info
Rémillard, Bruno
Scaillet, Olivier

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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 Cramer-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.

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File URL: http://www.sciencedirect.com/science/article/B6WK9-4SHF4D5-2/2/5d3b13d3c0b0b7e8702312d6bf6b1fd7
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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 100 (2009)
Issue (Month): 3 (March)
Pages: 377-386
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Handle: RePEc:eee:jmvana:v:100:y:2009:i:3:p:377-386

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Related research
Keywords: primary; 60F05 secondary; 62E20 Copula Cramer-von Mises statistic Empirical process Pseudo-observations Multiplier central limit theorem p-value;

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This page was last updated on 2009-12-3.

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