Testing for Equality between Two Copulas
24 Pages Posted: 24 Sep 2007
Date Written: June 20, 2007
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 infinance, psychology, insurance and medicine.
Keywords: Copula, Cramér-von Mises statistic, empiricalprocess, pseudo-observations, multipliercentrallimittheorem, p-value.
JEL Classification: C12, C14, C15.
Suggested Citation: Suggested Citation
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