K-Sample Test for Equality of Copulas - Aix-Marseille Université Access content directly
Preprints, Working Papers, ... Year : 2022

K-Sample Test for Equality of Copulas

Comparaison Simultanée de $K\geq 2$ Copules Multivariées


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.
Fichier principal
Vignette du fichier
Arxiv_Ngounou_Pommeret.pdf (1.34 Mo) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-03475324 , version 1 (10-12-2021)
hal-03475324 , version 2 (12-01-2022)


  • HAL Id : hal-03475324 , version 2


Yves Ismaël Ngounou Bakam, Denys Pommmeret. K-Sample Test for Equality of Copulas. 2022. ⟨hal-03475324v2⟩
85 View
28 Download


Gmail Facebook X LinkedIn More