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Testing for equality between two copulas
Authors:Bruno Ré  millard,Olivier Scaillet
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
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:primary, 60F05   secondary, 62E20
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