2023/07/14 by Jian Ma, Ma, Jian · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #Advanced Statistical Methods and Models #FOS: Computer and information sciences #Fault Detection and Control Systems #Financial Risk and Volatility Modeling #Methodology (stat.ME)
paper · pdf · doi:10.48550/arxiv.2307.07247
openalex publication_date 2023/07/14 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we propose a two-sample test based on copula entropy (CE). The proposed test statistic is defined as the difference between the CEs of the null hypothesis and the alternative. The estimator of the test statistic is proposed with the non-parametric estimator of CE, which is non-parametric and hyperparameter-free. Simulation experiments verified the effectiveness of the proposed test and compared it with three other multivariate non-parametric two-sample tests on the simulated bi-variate normal or bi-variate Gaussian copula data. Experimental results show that the proposed test works well on all three simulations and presents competitive or better performance than the other three tests.