Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146766 | Journal of Multivariate Analysis | 2009 | 10 Pages |
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 pp-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
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Bruno Rémillard, Olivier Scaillet,