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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