2021/12/10 by Yves Ismaël Ngounou Bakam, Bakam, Yves Ismaël Ngounou, Denys Pommeret +1 · 2 citations
Computer Science · Economics, Econometrics and Finance · Mathematics · #Applications (stat.AP) #Bayesian Methods and Mixture Models #FOS: Computer and information sciences #FOS: Mathematics #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2112.05623
openalex publication_date 2021/12/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A smooth test to simultaneously compare K copulas, where K ≥ 2 is proposed. The K observed populations can be paired, and the test statistic is constructed based on the differences between moment sequences, called copula coefficients. These coefficients characterize the copulas, even when the copula densities may not exist. The procedure employs a two-step data-driven procedure. In the initial step, the most significantly different coefficients are selected for all pairs of populations. The subsequent step utilizes these coefficients to identify populations that exhibit significant differences. To demonstrate the effectiveness of the method, we provide illustrations through numerical studies and application to two real datasets.