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|
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"Testing for equality between two copulas,"
Journal of Multivariate Analysis,
Elsevier, vol. 100(3), pages 377-386, March.
- Bruno Rémillard & Olivier Scaillet, 2006. "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series 07-24, Swiss Finance Institute.
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