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 59 articles )

Showing results 1 to 20 of 59.
Sorted by year (citations)

1 2 3 next

  1. Nasri, Bouchra R.; Rémillard, Bruno N.; Bahraoui, Tarik: Change-point problems for multivariate time series using pseudo-observations (2022)
  2. Araiza Iturria, Carlos Andrés; Godin, Frédéric; Mailhot, Mélina: Tweedie double GLM loss triangles with dependence within and across business lines (2021)
  3. Bahraoui, Tarik; Kolev, Nikolai: New measure of the bivariate asymmetry (2021)
  4. Quessy, Jean-François: A Szekely-Rizzo inequality for testing general copula homogeneity hypotheses (2021)
  5. Quessy, Jean-François; Mesfioui, Mhamed: A new family of copula-based concordance orderings of random pairs: properties and nonparametric tests (2021)
  6. Song, Zhi; Mukherjee, Amitava; Zhang, Jiujun: Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment (2021)
  7. Beare, Brendan K.; Seo, Juwon: Randomization tests of copula symmetry (2020)
  8. Di Lascio, F. Marta L.; Menapace, Andrea; Righetti, Maurizio: Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach (2020)
  9. Bücher, Axel; Kojadinovic, Ivan: A note on conditional versus joint unconditional weak convergence in bootstrap consistency results (2019)
  10. Kojadinovic, Ivan; Stemikovskaya, Kristina: Subsampling (weighted smooth) empirical copula processes (2019)
  11. Quessy, Jean-François: Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series (2019)
  12. Seo, Juwon: Tests of stochastic monotonicity with improved power (2018)
  13. Berghaus, Betina; Bücher, Axel: Goodness-of-fit tests for multivariate copula-based time series models (2017)
  14. Bücher, Axel; Kinsvater, Paul; Kojadinovic, Ivan: Detecting breaks in the dependence of multivariate extreme-value distributions (2017)
  15. Derumigny, Alexis; Fermanian, Jean-David: About tests of the “simplifying” assumption for conditional copulas (2017)
  16. Genest, Christian; Nešlehová, Johanna G.; Rémillard, Bruno: Asymptotic behavior of the empirical multilinear copula process under broad conditions (2017)
  17. Kojadinovic, Ivan: Some copula inference procedures adapted to the presence of ties (2017)
  18. Plante, Jean-François: Rank correlation under categorical confounding (2017)
  19. Bouzebda, Salim: Some applications of the strong approximation of the integrated empirical copula processes (2016)
  20. Bücher, Axel; Kojadinovic, Ivan: A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing (2016)

1 2 3 next