A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using an ingenious transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to...

We propose a new method to test conditional independence of two real random variables $Y$ and $Z$ conditionally on an arbitrary third random variable $X$. The partial copula is introduced, defined as the joint distribution of $U=F_{Y|X}(Y|X)$ and $V=F_{Z|X}(Z|X)$. We call this transformation of...

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...