Detecting changes in cross-sectional dependence in multivariate time series

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

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

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

ranks; strong mixing; empirical copula; multiplier central limit theorem; partial-sum process; change-point detection

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62H15: Hypothesis testing in multivariate analysis

60F05: Central limit and other weak theorems

Related Items

changepointTests

Uses Software

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