Detecting changes in cross-sectional dependence in multivariate time series (Q123369): Difference between revisions
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| Property / author: Axel Bücher / rank | |||
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| Property / author: Ivan Kojadinovic / rank | |||
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| Property / author: Tom Rohmer / rank | |||
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| Property / author: Johan Segers / rank | |||
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| Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H15 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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| Property / zbMATH DE Number: 6352250 / rank | |||
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change-point detection | |||
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empirical copula | |||
| Property / zbMATH Keywords: empirical copula / rank | |||
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multiplier central limit theorem | |||
| Property / zbMATH Keywords: multiplier central limit theorem / rank | |||
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partial-sum process | |||
| Property / zbMATH Keywords: partial-sum process / rank | |||
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ranks | |||
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strong mixing | |||
| Property / zbMATH Keywords: strong mixing / rank | |||
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Revision as of 13:18, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting changes in cross-sectional dependence in multivariate time series |
scientific article |
Statements
132
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111-128
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November 2014
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8 October 2014
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Detecting changes in cross-sectional dependence in multivariate time series (English)
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change-point detection
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empirical copula
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multiplier central limit theorem
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partial-sum process
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ranks
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strong mixing
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