Testing for equality between two copulas

Journal of Multivariate Analysis

Volumn 100, Issue 3, 2009, Pages 377-386

  Rémillard, Bruno ^a   Scaillet, Olivier ^b,c  

^a HEC MONTRÉAL   (Canada)

^b UNIVERSITY OF GENEVA   (Switzerland)

^c SWISS FINANCE INSTITUTE   (Switzerland)

Author keywords

60F05; 62E20; Copula; Cram r von Mises statistic; Empirical process; Multiplier central limit theorem; p value; primary; Pseudo observations; secondary

Indexed keywords

EID: 57649094659     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2008.05.004     Document Type: Article

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