Testing for Equality between Two Copulas

24 Pages Posted: 24 Sep 2007

See all articles by Bruno Remillard

Bruno Remillard

Department of Decision Sciences, HEC Montreal

O. Scaillet

Swiss Finance Institute - University of Geneva

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

Remillard, Bruno and Scaillet, Olivier, Testing for Equality between Two Copulas (June 20, 2007). Swiss Finance Institute Research Paper No. 07-24, Available at SSRN: https://ssrn.com/abstract=1014550 or http://dx.doi.org/10.2139/ssrn.1014550

Bruno Remillard

Department of Decision Sciences, HEC Montreal ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada
514-340-6794 (Phone)

Olivier Scaillet (Contact Author)

Swiss Finance Institute - University of Geneva ( email )

Geneva
Switzerland

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