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 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.
|Date of creation:||Jun 2006|
|Date of revision:|
|Contact details of provider:|| Web page: http://www.SwissFinanceInstitute.ch|
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- Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
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- Bruno Rémillard & Olivier Scaillet, 2006.
"Testing For Equality Between Two Copulas,"
Swiss Finance Institute Research Paper Series
07-24, Swiss Finance Institute.
- Scaillet, Olivier, 2007.
"Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters,"
Journal of Multivariate Analysis,
Elsevier, vol. 98(3), pages 533-543, March.
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- Deheuvels, Paul, 1981. "An asymptotic decomposition for multivariate distribution-free tests of independence," Journal of Multivariate Analysis, Elsevier, vol. 11(1), pages 102-113, March.
- Joe, Harry, 2005. "Asymptotic efficiency of the two-stage estimation method for copula-based models," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 401-419, June.
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