Title of article
Testing for equality between two copulas
Author/Authors
Rémillard، نويسنده , , Bruno and Scaillet، نويسنده , , Olivier، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2009
Pages
10
From page
377
To page
386
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 Cramér–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.
Keywords
primary60F05 , secondary62E20 , Copula , Empirical process , Cramér–von Mises statistic , Pseudo-observations , Multiplier central limit theorem , p -value
Journal title
Journal of Multivariate Analysis
Serial Year
2009
Journal title
Journal of Multivariate Analysis
Record number
1564934
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