PairCopulaIndepTest

Testing on the independence pair-copula

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Purpose

The function performes the bivariate independence test for copula data of Genest and Favre (2007).

Usage

   [pValue,TestStat] = PairCopulaIndepTest(u1,u2)

Inputs

   u1                = A (n x 1) dimensional vector of values lying in [0,1].
   u2                = A (n x 1) dimensional vector of values lying in [0,1].

Outputs

  pValue             = The p-value for the independence test.
  TestStat           = The value of the test statistic.

References

Genest, C. and A. Favre (2007), "Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask", Journal of Hydrologic Engineering 12(4), pp. 347-368.