K-Sample Test for Equality of Copulas

DOI10.48550/ARXIV.2112.05623MaRDI QIDQ89269OpenAlexFDO

Authors Yves Ismaël Ngounou Bakam, Denys Pommeret, Yves Ismaël Ngounou Bakam, D. Pommeret

Publication date 10 December 2021

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2112.05623

zbMATH Keywords

copula coefficientsdata-driven smooth testK-sampleLegendre polynomials

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: We propose a test procedure to compare simultaneously $K$ copulas, with $Kgeq2$. The $K$ observed populations can be paired. The test statistic is based on the differences between orthogonal projection coefficients associated to the density copulas, that we called {it copula coefficients}. The procedure is data driven and we obtain a chi-square asymptotic distribution of the test statistic under the null. We illustrate our procedure via numerical studies and through two real datasets. Eventually, a clustering algorithm is deduced from the $K$-sample test and its performances are illustrated in a simulation experiment.

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Cited in

(1)

• Kcop

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