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Testing For Equality Between Two Copulas

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Author Info
Bruno Rémillard (HEC Montréal)
Olivier Scaillet (University of Geneva and Swiss Finance Institute)

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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 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.

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File URL: http://ssrn.com/abstract=1014550
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Publisher Info
Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 07-24.

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Length: 24 pages
Date of creation: Jun 2006
Date of revision:
Handle: RePEc:chf:rpseri:rp0724

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Web page: http://www.SwissFinanceInstitute.ch
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Related research
Keywords: Copula Cram´er-von Mises statistic empirical process pseudo-observations multiplier central limit theorem p-value.

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

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This page was last updated on 2008-9-21.

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