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G-2006-31

Testing for Equality Between Two Copulas

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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 Cram´er-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.

, 24 pages

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Testing for equality between two copulas
and
Journal of Multivariate Analysis, 100, 377–386, 2009 BibTeX reference