Testing of the homogeneity of marginal distributions in copula models

Vilijandas Bagdonavičius; Sergey Malov; Mikhail Nikulin

doi:10.1016/j.crma.2008.02.022

Statistics/Probability Theory

Testing of the homogeneity of marginal distributions in copula models
[Un test de l'homogénéité des distributions marginales dans des modèles de copule]

Présenté par : Paul Deheuvels

Vilijandas Bagdonavičius ¹ ; Sergey Malov ² ; Mikhail Nikulin ³

¹ University of Vilnius, 24, Naugarduko, Vilnius, Lithuania
² Electrotechnical University, Professor Popov str. 5, Saint Petersburg, 197376, Russia
³ Université Victor-Segalen Bordeaux 2, 146, rue Leo-Saignat, 33076 Bordeaux cedex, France

Comptes Rendus. Mathématique, Volume 346 (2008) no. 7-8, pp. 445-450.

Résumé
Abstract

On propose un test pour l'égalité des répartitions des marginaux complètement inconnus quand la fonction de répartition bi-dimensionelle est donnée en termes d'une copule paramétrique avec le paramètre d'association inconnu.

A test for the equality of marginal distributions of bi-dimensional distribution functions represented by a parametric copula and completely unknown marginals is proposed.

Reçu le : 2007-04-06
Accepté le : 2008-02-22
Publié le : 2008-04-01

DOI : 10.1016/j.crma.2008.02.022

Affiliations des auteurs :

Vilijandas Bagdonavičius ¹ ; Sergey Malov ² ; Mikhail Nikulin ³

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     title = {Testing of the homogeneity of marginal distributions in copula models},
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     pages = {445--450},
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     language = {en},
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Vilijandas Bagdonavičius; Sergey Malov; Mikhail Nikulin. Testing of the homogeneity of marginal distributions in copula models. Comptes Rendus. Mathématique, Volume 346 (2008) no. 7-8, pp. 445-450. doi : 10.1016/j.crma.2008.02.022. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2008.02.022/

Bibliographie
Cité par

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