Testing for equality between two copulas
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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Volume (Year): 100 (2009)
Issue (Month): 3 (March)
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References listed on IDEAS
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- Rémillard, Bruno & Scaillet, Olivier, 2009.
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Journal of Multivariate Analysis,
Elsevier, vol. 100(3), pages 377-386, March.
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