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K-Sample Test for Equality of Copulas

Abstract : We propose a test procedure to compare simultaneously K copulas, with K ≥ 2. The K observed populations can be paired. The test statistic is based on the differences between orthogonal projection coefficients associated to the density copulas, that we called copula coefficients. The procedure is data driven and we obtain a chi-square asymptotic distribution of the test statistic under the null. We illustrate our procedure via numerical studies and through two real datasets. Eventually, a clustering algorithm is deduced from the Ksample test and its performances are illustrated in a simulation experiment.
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https://hal-amu.archives-ouvertes.fr/hal-03475324
Contributor : Yves Ismaël NGOUNOU BAKAM Connect in order to contact the contributor
Submitted on : Friday, December 10, 2021 - 5:45:21 PM
Last modification on : Sunday, June 26, 2022 - 3:24:42 AM
Long-term archiving on: : Friday, March 11, 2022 - 7:42:19 PM

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  • HAL Id : hal-03475324, version 1

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yves Ismaël Ngounou Bakam, Denys Pommmeret. K-Sample Test for Equality of Copulas. 2021. ⟨hal-03475324v1⟩

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