TwoCop-package {TwoCop} | R Documentation |
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.
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.
Bruno Remillard and Jean-Francois Plante
Maintainer: Bruno Remillard <bruno.remillard@hec.ca>
Remillard, B. & Scaillet, O. (2009) Testing for equality between two copulas. Journal of Multivariate Analysis, 100, 377-386.