Change-point problems for multivariate time series using pseudo-observations
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Recommendations
- Multivariate changepoint problem
- Change point detection in copula ARMA-GARCH models
- Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points
- Multivariate Kendall's tau for change-point detection in copulas
- Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
Cites work
- A kolmogorov-smirnov type test for positive quadrant dependence
- A note on tightness
- A test for a change in a parameter occurring at an unknown point
- Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
- Change in autoregressive processes
- Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
- Copula-based dynamic models for multivariate time series
- Detecting change in a random sequence
- Detecting changes in cross-sectional dependence in multivariate time series
- Diagnostic tests for innovations of ARMA models using empirical processes of residuals
- Distribution Free Tests of Independence Based on the Sample Distribution Function
- Goodness‐of‐fit for regime‐switching copula models with application to option pricing
- scientific article; zbMATH DE number 1301683 (Why is no real title available?)
- scientific article; zbMATH DE number 2152218 (Why is no real title available?)
- Multivariate Kendall's tau for change-point detection in copulas
- Nonparametric bootstrap tests for independence of generalized errors
- Nonparametric change-point estimation
- Nonparametric statistical procedures for the changepoint problem
- Nonparametric tests for change-point detection à la Gombay and Horváth
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Serial independence tests for innovations of conditional mean and variance models
- Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions
- Testing and estimating change-points in time series
- Testing for a change in correlation at an unknown point in time using an extended functional delta method
- Testing for equality between two copulas
- Weak convergence and empirical processes. With applications to statistics
- Weak convergence of the sequential empirical processes of residuals in ARMA models
Cited in
(10)- changepointTests
- Change points in heavy‐tailed multivariate time series: Methods using precision matrices
- A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
- Gradual change-point analysis based on Spearman matrices for multivariate time series
- Mean change point detection based on jump information criterion
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- An Adaptive Kernel-Based Structural Change Test for Copulas
- Detecting structural shifts and estimating single change-points in interval-based time series
- Change point estimation for Gaussian time series data with copula-based Markov chain models
- A clustering-based integrated narrowest significance pursuit method for change-point estimation in panel data with application
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