Change point detection in SCOMDY models

DOI10.1007/S10182-012-0200-YMaRDI QIDQ1621241zbMATH OpenOpenAlexFDO

Authors Okyoung Na, Sangyeol Lee, Jiyeon Lee

Publication date 8 November 2018

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10182-012-0200-y

zbMATH Keywords

change point testCUSUM testpseudo maximum likelihood estimatorsemiparametric copula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• An introduction to copulas.
• Asymptotic Normality of Nonparametric Tests for Independence
• Change analysis of a dynamic copula for measuring dependence in multivariate financial data
• Change point detection in copula ARMA-GARCH models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Statistical inference for multivariate residual copula of GARCH models
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models

Cited in

(8)

• A semiparametric maximum likelihood ratio test for the change point in copula models
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• Parameter change test for autoregressive conditional duration models
• Recent progress in parameter change test for integer-valued time series models
• Change Point Detection in The Skew-Normal Model Parameters
• Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test
• Change point detection in copula ARMA-GARCH models
• Robust estimation for copula parameter in SCOMDY models

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