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The paper deals with random vectors in , possessing the stochastic representation , where R is a positive random radius independent of the random vector and is a non-singular matrix. If is uniformly distributed on the unit sphere of , then for any integer m<d we have the stochastic representations and , with W>=0, such that W2 is a beta distributed...</d>
Persistent link: https://www.econbiz.de/10005152839
We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cramer-von Mises test statistic. Finite sample properties are...
Persistent link: https://www.econbiz.de/10005199360