[HTML][HTML] Testing for equality between two copulas

B Rémillard, O Scaillet - Journal of Multivariate Analysis, 2009 - Elsevier
Journal of Multivariate Analysis, 2009Elsevier
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.
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.
Elsevier
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