Testing for equality between two copulas
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Publication:1000568
DOI10.1016/j.jmva.2008.05.004zbMath1157.62401MaRDI QIDQ1000568
Bruno Rémillard, Olivier Scaillet
Publication date: 9 February 2009
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://archive-ouverte.unige.ch/unige:5745
copula; empirical process; \(p\)-value; Cramér-von Mises statistic; pseudo-observations; multiplier central limit theorem
62G10: Nonparametric hypothesis testing
62E20: Asymptotic distribution theory in statistics
60F05: Central limit and other weak theorems
65C05: Monte Carlo methods
Uses Software