Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions (Q151787): Difference between revisions

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Property / published in: Statistics \& Probability Letters / rank
 
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Property / publication date
 
31 October 2016
Timestamp+2016-10-31T00:00:00Z
Timezone+00:00
CalendarGregorian
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Property / publication date: 31 October 2016 / rank
 
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Property / author: Tom Rohmer / rank
 
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Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions (English)
Property / title: Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions (English) / rank
 
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Property / zbMATH Open document ID: 1398.62112 / rank
 
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Property / full work available at URL: https://arxiv.org/abs/1506.01894 / rank
 
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Property / Mathematics Subject Classification ID: 62G10 / rank
 
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Property / Mathematics Subject Classification ID: 62G20 / rank
 
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Property / Mathematics Subject Classification ID: 62H15 / rank
 
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Property / zbMATH DE Number: 6645800 / rank
 
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non-parametric tests
Property / zbMATH Keywords: non-parametric tests / rank
 
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sequential empirical copula process
Property / zbMATH Keywords: sequential empirical copula process / rank
 
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Monte Carlo experiments
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Property / arXiv ID: 1506.01894 / rank
 
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Property / cites work: Weak convergence of the sequential empirical processes of residuals in ARMA models / rank
 
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Property / cites work
 
Property / cites work: Detecting changes in cross-sectional dependence in multivariate time series / rank
 
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Property / cites work
 
Property / cites work: Q4348180 / rank
 
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Property / cites work
 
Property / cites work: Q3855979 / rank
 
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Property / cites work
 
Property / cites work: Nonparametric tests for change-point detection à la Gombay and Horváth / rank
 
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Property / cites work
 
Property / cites work: TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES / rank
 
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Property / cites work
 
Property / cites work: Large-sample tests of extreme-value dependence for multivariate copulas / rank
 
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Property / cites work
 
Property / cites work: Asymptotics of empirical copula processes under non-restrictive smoothness assumptions / rank
 
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Property / cites work
 
Property / cites work: Q3281461 / rank
 
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Revision as of 19:53, 12 July 2024

scientific article
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Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions
scientific article

    Statements

    119
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    45-54
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    December 2016
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    31 October 2016
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    Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions (English)
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    non-parametric tests
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    sequential empirical copula process
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    Monte Carlo experiments
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    Identifiers

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