Article ID Journal Published Year Pages File Type
1146766 Journal of Multivariate Analysis 2009 10 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
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