Testing for equality between two copulas

JOURNAL OF MULTIVARIATE ANALYSIS

卷:100

Article

Remillard, Bruno¹  Scaillet, Olivier^2,3 

[1] HEC Montreal, Serv Enseignement Methodes Quantitat Gest, Montreal, PQ H3T 2A7, Canada

[2] HEC Univ Geneve, Geneva, Switzerland

[3] Swiss Finance Inst, Fac SES, CH-1211 Geneva 4, Switzerland

关键词: Copula;    Cramer-von Mises statistic;    Empirical process;    Pseudo-observations;    Multiplier central limit theorem;    p-value;   

DOI  :  10.1016/j.jmva.2008.05.004

来源: Elsevier

【 摘 要 】

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 Cramer-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. (c) 2008 Elsevier Inc. All rights reserved.

【 授权许可】

Free