A semiparametric maximum likelihood ratio test for the change point in copula models

DOI10.1016/j.stamet.2013.02.003zbMath1486.62145OpenAlexW1985440942MaRDI QIDQ1756184

Salim Bouzebda, Amor Keziou

Publication date: 14 January 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2013.02.003

zbMATH Keywords

copulasdependence functionBrownian bridgesemiparametric inferencechange pointextreme value asymptoticsmultivariate rank statisticsweighted approximationslikelihood ratio processes

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Asymptotic properties of parametric tests (62F05)

Related Items

Semiparametric method for identifying multiple change-points in financial market, Copula parameter change test for nonlinear AR models with nonlinear GARCH errors, Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points, Strong approximation of multidimensional \(\mathbb P\)-\(\mathbb P\) plots processes by Gaussian processes with applications to statistical tests, Asymptotic properties of semiparametric \(M\)-estimators with multiple change points

Uses Software

• QRM

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