Detecting changes in cross-sectional dependence in multivariate time series (Q123369)
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scientific article; zbMATH DE number 6352250
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| English | Detecting changes in cross-sectional dependence in multivariate time series |
scientific article; zbMATH DE number 6352250 |
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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0.91907805
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0.89387447
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0.88977385
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0.88815206
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0.8856705
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0.88259715
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0.8795122
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0.87895286
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