Testing for equality between two copulas

Authors:
Bruno Rémillard;Olivier Scaillet
Affiliations:
Service de l'enseignement des méthodes quantitatives de gestion, HEC Montréal, Montréal (Québec), Canada H3T 2A7;HEC Université de Genève, Suisse and Swiss Finance Institute, Faculté des SES, Bd Carl Vogt 102, CH - 1211 Geneve 4, Suisse
Venue:
Journal of Multivariate Analysis
Year:
2009

Citing 3
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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 Cramer-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.