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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31 October 2016
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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: 60F17 / 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 | |||||||||||||||
Property / zbMATH Keywords: Monte Carlo experiments / rank | |||||||||||||||
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Property / describes a project that uses: copula / rank | |||||||||||||||
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Property / describes a project that uses: copula / rank | |||||||||||||||
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Property / OpenAlex ID: W2963875837 / rank | |||||||||||||||
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Property / arXiv ID: 1506.01894 / rank | |||||||||||||||
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Property / cites work | |||||||||||||||
Property / cites work: Weak convergence of the sequential empirical processes of residuals in ARMA models / rank | |||||||||||||||
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Property / cites work: Detecting changes in cross-sectional dependence in multivariate time series / rank | |||||||||||||||
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Property / cites work: Q4348180 / rank | |||||||||||||||
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Property / cites work: Q3855979 / rank | |||||||||||||||
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Property / cites work: Nonparametric tests for change-point detection à la Gombay and Horváth / rank | |||||||||||||||
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Property / cites work: TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES / rank | |||||||||||||||
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Property / cites work: Large-sample tests of extreme-value dependence for multivariate copulas / rank | |||||||||||||||
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Property / cites work: Asymptotics of empirical copula processes under non-restrictive smoothness assumptions / rank | |||||||||||||||
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Property / cites work: Q3281461 / rank | |||||||||||||||
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Revision as of 19:53, 12 July 2024
scientific article
Language | Label | Description | Also known as |
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English | 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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