TwoCop: Nonparametric test of equality between two copulas. This package implements the nonparametric test of equality between two copulas proposed by Remillard and Scaillet in their 2009 JMVA paper: Testing for equality between two copulas. 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 Cramér-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.

References in zbMATH (referenced in 29 articles )

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  1. Berghaus, Betina; Bücher, Axel: Nonparametric tests for tail monotonicity (2014)
  2. Bouzebda, S.: Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points (2014)
  3. Bücher, Axel: A note on nonparametric estimation of bivariate tail dependence (2014)
  4. Bücher, Axel; Kojadinovic, Ivan; Rohmer, Tom; Segers, Johan: Detecting changes in cross-sectional dependence in multivariate time series (2014)
  5. Bücher, Axel; Segers, Johan; Volgushev, Stanislav: When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs (2014)
  6. Genest, Christian; Nešlehová, Johanna G.: On tests of radial symmetry for bivariate copulas (2014)
  7. Bouzebda, Salim; Zari, Tarek: Strong approximation of empirical copula processes by Gaussian processes (2013)
  8. Bücher, Axel; Dette, Holger: Multiplier bootstrap of tail copulas with applications (2013)
  9. Bücher, Axel; Ruppert, Martin: Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique (2013)
  10. Bücher, Axel; Volgushev, Stanislav: Empirical and sequential empirical copula processes under serial dependence (2013)
  11. Fermanian, Jean-David: An overview of the goodness-of-fit test problem for copulas (2013)
  12. Quessy, Jean-François; Bahraoui, Tarik: Graphical and formal statistical tools for the symmetry of bivariate copulas (2013)
  13. Bouzebda, S.: On the strong approximation of bootstrapped empirical copula processes with applications (2012)
  14. Bouzebda, Salim; Cherfi, Mohamed: Test of symmetry based on copula function (2012)
  15. Bücher, Axel; Dette, Holger; Volgushev, Stanislav: A test for Archimedeanity in bivariate copula models (2012)
  16. Genest, Christian; Nešlehová, Johanna; Quessy, Jean-François: Tests of symmetry for bivariate copulas (2012)
  17. Litvinova, Svetlana; Silvapulle, Mervyn J.: A test when the Fisher information may be infinite, exemplified by a test for marginal independence in extreme value distributions (2012)
  18. Quessy, Jean-François; Éthier, François: Cramér-von Mises and characteristic function tests for the two and $k$-sample problems with dependent data (2012)
  19. Rémillard, Bruno; Papageorgiou, Nicolas; Soustra, Frédéric: Copula-based semiparametric models for multivariate time series (2012)
  20. Segers, Johan: Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)

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