Description Details Author(s) References
This package implements the nonparametric test of equality between two copulas proposed by Remillard and Scaillet (2009) in their JMVA paper. The test is based on the Cramer-von-Mises statistic between the two empirical copulas. An approximate p-value is returned.
Package: | TwoCop |
Type: | Package |
Version: | 1.0 |
Date: | 2012-10-17 |
License: | GPL-2 |
The function TwoCop
provides an approximate p-value for the test of equality
between two copulas.
Bruno Remillard and Jean-Francois Plante
Maintainer: Bruno Remillard <bruno.remillard@hec.ca>
Remillard, B. & Scaillet, O. (2009) Testing for equality between two copulas. Journal of Multivariate Analysis, 100, 377-386.
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