Testing equality between two-sample dependence structure using Bernstein polynomials
arXiv:2303.02510
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.
26 pages, 3 tables