TwoCop-package: Nonparametric test of equality between two copulas
Description
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.
Details
|
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.
References
Remillard, B. & Scaillet, O. (2009) Testing for equality between two copulas. Journal of Multivariate Analysis, 100, 377-386.