Title: Testing constant conditional dependence structure over partition sets
Authors: Aleksey Min - Technische Universitaet Muenchen (Germany) [presenting]
Jean-David Fermanian - Ensae-Crest (France)
Abstract: Recently, the simplifying assumption for conditional copulas has been rigorously investigated and classified, and several testing procedures have been proposed. We consider one particular test of a constant conditional dependence structure over a given partition sets and propose a simple alternative testing procedure based on the equality of Kendall's rank correlation coefficients. The performance of the proposed test will be illustrated in a simulation study.