New two-sample tests based on the integrated empirical copula processes

Published in Statistics, 2012

S. Bouzebda and N.E. El Faouzi

We introduce a new test of equality between two dependence structures. The new statistics are functionals of a suitably integrated two-sample empirical copula process. The limiting behaviours of the proposed statistics are established under the null hypothesis. Emphasis is placed on the explanation of the strong approximation methodology.

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