Monitoring test for stability of copula parameter in time series (Q488592): Difference between revisions

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-Ji-Yeon Lee
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+Ji-Yeon Lee
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jkss.2014.08.002
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+W2071565896
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@@ Property / cites work @@
+Break detection in the covariance structure of multivariate time series models
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+SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
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+Estimation of copula-based semiparametric time series models
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+Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
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+Monitoring Structural Change
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+On strong invariance principles under dependence assumptions
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+On testing equality of pairwise rank correlations in a multivariate random vector
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+A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
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+Change analysis of a dynamic copula for measuring dependence in multivariate financial data
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+Monitoring changes in linear models
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+Bootstrapping sequential change-point tests for linear regression
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+Almost sure invariance principles for partial sums of mixing B-valued random variables
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+The Cusum Test for Parameter Change in Time Series Models
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+Monitoring parameter change in time series models
@@ Property / cites work: Monitoring parameter change in time series models / rank @@
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@@ Property / cites work @@
+Change point detection in copula ARMA–GARCH Models
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@@ Property / cites work @@
+Copula–Based Models for Financial Time Series
@@ Property / cites work: Copula–Based Models for Financial Time Series / rank @@
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+A maximal inequality and dependent Marcinkiewicz-Zygmund strong laws
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+Asymptotic Normality of Nonparametric Tests for Independence
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+Weak convergence for weighted empirical processes of dependent sequences
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+Asymptotic Statistics
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@@ Property / cites work @@
+Monitoring correlation change in a sequence of random variables
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@@ Property / cites work @@
+Q3643299
@@ Property / cites work: Q3643299 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:488592