Testing for equality between two copulas |
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Authors: | Bruno Ré millard,Olivier Scaillet |
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Affiliation: | a Service de l’enseignement des méthodes quantitatives de gestion, HEC Montréal, Montréal (Québec), Canada H3T 2A7 b HEC Université de Genève, Suisse c Swiss Finance Institute, Faculté des SES, Bd Carl Vogt 102, CH - 1211 Geneve 4, Suisse |
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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. |
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Keywords: | primary, 60F05 secondary, 62E20 |
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