Detecting changes in cross-sectional dependence in multivariate time series

DOI10.1016/j.jmva.2014.07.012zbMath1360.62451arXiv1206.2557OpenAlexW2080406918MaRDI QIDQ123369

Johan Segers, Tom Rohmer, Ivan Kojadinovic, Axel Bücher, Ivan Kojadinovic, Axel Bücher, Tom Rohmer, Johan Segers

Publication date: November 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.2557

zbMATH Keywords

ranksstrong mixingempirical copulamultiplier central limit theorempartial-sum processchange-point detection

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)

Related Items (22)

A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing ⋮ Detecting breaks in the dependence of multivariate extreme-value distributions ⋮ Testing the constancy of Spearman's rho in multivariate time series ⋮ On change-point estimation under Sobolev sparsity ⋮ A random walk through Canadian contributions on empirical processes and their applications in probability and statistics ⋮ Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series ⋮ Dependent multiplier bootstraps for non-degenerate \(U\)-statistics under mixing conditions with applications ⋮ Generalized multiple change-point detection in the structure of multivariate, possibly high-dimensional, data sequences ⋮ A class of smooth, possibly data-adaptive nonparametric copula estimators containing the empirical beta copula ⋮ High Dimensional Change Point Estimation via Sparse Projection ⋮ Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models ⋮ A monitoring procedure for detecting structural breaks in factor copula models ⋮ Modeling Influenza-Like Illness Activity in the United States ⋮ Nonparametric tests for constant tail dependence with an application to energy and finance ⋮ Testing for structural breaks in factor copula models ⋮ Time-varying copula models for financial time series ⋮ Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions ⋮ TESTING FOR CHANGES IN KENDALL’S TAU ⋮ Change-point problems for multivariate time series using pseudo-observations ⋮ Tests of serial dependence for multivariate time series with arbitrary distributions ⋮ Combining Cumulative Sum Change‐Point Detection Tests for Assessing the Stationarity of Univariate Time Series ⋮ changepointTests

Uses Software

• R
• tseries
• copula
• QRM
• TwoCop
• npcp
• copula

Cites Work

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• A note on bootstrap approximations for the empirical copula process
• Construction of asymmetric multivariate copulas
• On the covariance of the asymptotic empirical copula process
• Testing for equality between two copulas
• Rates of convergence for U-statistic processes and their bootstrapped versions
• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
• Weak convergence of the sequential empirical processes of residuals in ARMA models
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• A more general central limit theorem for \(m\)-dependent random variables with unbounded \(m\)
• A note on nonparametric estimation of bivariate tail dependence
• TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
• Tapered block bootstrap
• Multivariate Kendall's tau for change-point detection in copulas
• Fast large-sample goodness-of-fit tests for copulas
• Large-sample tests of extreme-value dependence for multivariate copulas
• A kolmogorov-smirnov type test for positive quadrant dependence

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