• 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