Detecting changes in cross-sectional dependence in multivariate time series (Q123369): Difference between revisions

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+October 2014Timestamp +2014-10-08T00:00:00Z
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++2014-10-08T00:00:00Z
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@@ Property / publication date: 8 October 2014 / rank @@
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@@ Property / author @@
+Axel Bücher
@@ Property / author: Axel Bücher / rank @@
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@@ Property / author @@
+Ivan Kojadinovic
@@ Property / author: Ivan Kojadinovic / rank @@
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@@ Property / author @@
+Tom Rohmer
@@ Property / author: Tom Rohmer / rank @@
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@@ Property / author @@
+Johan Segers
@@ Property / author: Johan Segers / rank @@
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@@ Property / title @@
+Detecting changes in cross-sectional dependence in multivariate time series (English)
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@@ Property / zbMATH Open document ID @@
+.62451
@@ Property / zbMATH Open document ID: 1360.62451 / rank @@
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@@ Property / full work available at URL @@
+https://arxiv.org/abs/1206.2557
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+M10
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+6352250
@@ Property / zbMATH DE Number: 6352250 / rank @@
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@@ Property / zbMATH Keywords @@
+change-point detection
@@ Property / zbMATH Keywords: change-point detection / rank @@
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@@ Property / zbMATH Keywords @@
+empirical copula
@@ Property / zbMATH Keywords: empirical copula / rank @@
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@@ Property / zbMATH Keywords @@
+multiplier central limit theorem
@@ Property / zbMATH Keywords: multiplier central limit theorem / rank @@
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@@ Property / zbMATH Keywords @@
+partial-sum process
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+ranks
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+strong mixing
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+copula
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+.2557
@@ Property / arXiv ID: 1206.2557 / rank @@
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@@ Property / cites work @@
+Weak convergence of the sequential empirical processes of residuals in ARMA models
+Normal rank
@@ Property / cites work @@
+A note on nonparametric estimation of bivariate tail dependence
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@@ Property / cites work @@
+A note on bootstrap approximations for the empirical copula process
+Normal rank
@@ Property / cites work @@
+Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
+Normal rank
@@ Property / cites work @@
+Extreme value copula estimation based on block maxima of a multivariate stationary time series
+Normal rank
@@ Property / cites work @@
+Empirical and sequential empirical copula processes under serial dependence
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@@ Property / cites work @@
+Q4348180
@@ Property / cites work: Q4348180 / rank @@
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@@ Property / cites work @@
+Goodness-of-fit tests for copulas: A review and a power study
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@@ Property / cites work @@
+On the covariance of the asymptotic empirical copula process
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@@ Property / cites work @@
+Rates of convergence for U-statistic processes and their bootstrapped versions
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@@ Property / cites work @@
+Nonparametric tests for change-point detection à la Gombay and Horváth
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@@ Property / cites work @@
+TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
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@@ Property / cites work @@
+Large-sample tests of extreme-value dependence for multivariate copulas
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@@ Property / cites work @@
+Fast large-sample goodness-of-fit tests for copulas
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@@ Property / cites work @@
+Construction of asymmetric multivariate copulas
@@ Property / cites work: Construction of asymmetric multivariate copulas / rank @@
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@@ Property / cites work @@
+Tapered block bootstrap
@@ Property / cites work: Tapered block bootstrap / rank @@
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@@ Property / cites work @@
+Multivariate Kendall's tau for change-point detection in copulas
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@@ Property / cites work @@
+Testing for equality between two copulas
@@ Property / cites work: Testing for equality between two copulas / rank @@
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@@ Property / cites work @@
+A more general central limit theorem for \(m\)-dependent random variables with unbounded \(m\)
+Normal rank
@@ Property / cites work @@
+A kolmogorov-smirnov type test for positive quadrant dependence
+Normal rank
@@ Property / cites work @@
+Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
+Normal rank
@@ Property / cites work @@
+Q3281461
@@ Property / cites work: Q3281461 / rank @@
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@@ Property / cites work @@
+A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:123369