Testing equality between two-sample dependence structure using Bernstein polynomials

arXiv2303.02510MaRDI QIDQ6428409FDOQ6428409

Authors: Guanjie Lyu, Mohamed Belalia 

Publication date: 4 March 2023

Abstract: Tests of equality of copulas between two samples are introduced and studied using the empirical Bernstein copula process. Three statistics are proposed and their asymptotic properties are established. Besides, a subsampling Bernstein version method is investigated and compared with multiplier bootstrap. Simulation study showed that the Bernstein tests outperform the tests based on the empirical copula.

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