Title: A data-driven smooth test of comparison for dependent sequences
Authors: Denys Pommeret - Institute of Mathematics of Marseille (France)
Laurence Reboul - Aix-Marseille Universite (France) [presenting]
Anne Francoise Yao - Universite Clermont Auvergne/LMBP (France)
Abstract: A smooth test of comparison for the marginal distributions of strictly stationary dependent bivariate sequences is proposed. We first state a general test procedure and several cases of dependence are then investigated, including short and long memory cases. The test is applied to both simulated data and real datasets and achieves good performances.