Testing equality between two-sample dependence structure using Bernstein polynomials

Published 4 Mar 2023 in math.ST and stat.TH | (2303.02510v2)

Abstract: Tests of equality of copulas between two samples are introduced and studied using the empirical Bernstein copula process. Three statistics are proposed and their asymptotic properties are established. Besides, a subsampling Bernstein version method is investigated and compared with multiplier bootstrap. Simulation study showed that the Bernstein tests outperform the tests based on the empirical copula.

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