K-Sample Test for Equality of Copulas

DOI10.48550/ARXIV.2112.05623arXiv2112.05623OpenAlexW4392156107MaRDI QIDQ89269FDOQ89269

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)

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.

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)

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Cited In (1)

• Kcop

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