Detecting changes in cross-sectional dependence in multivariate time series
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Publication:123369
DOI10.1016/J.JMVA.2014.07.012zbMATH Open1360.62451arXiv1206.2557OpenAlexW2080406918MaRDI QIDQ123369FDOQ123369
Authors: Axel Bücher, Ivan Kojadinovic, Tom Rohmer, Johan Segers 
Publication date: November 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional dependence structure. To be able to detect such changes better, a test is introduced based on a recently studied variant of the sequential empirical copula process. In contrast to earlier attempts, ranks are computed with respect to relevant subsamples, with beneficial consequences for the sensitivity of the test. For the computation of p-values we propose a multiplier resampling scheme that takes the serial dependence into account. The large-sample theory for the test statistic and the resampling scheme is developed. The finite-sample performance of the procedure is assessed by Monte Carlo simulations. Two case studies involving time series of financial returns are presented as well.
Full work available at URL: https://arxiv.org/abs/1206.2557
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rankschange-point detectionempirical copulastrong mixingmultiplier central limit theorempartial-sum process
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)
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Cited In (30)
- changepointTests
- High dimensional change point estimation via sparse projection
- Generalized multiple change-point detection in the structure of multivariate, possibly high-dimensional, data sequences
- Monitoring the cross-covariances of a multivariate time series
- Testing for structural breaks in factor copula models
- An improved algorithm for the detection of dynamical interdependence in bivariate time-series
- Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
- Detecting departures from meta-ellipticity for multivariate stationary time series
- Detecting breaks in the dependence of multivariate extreme-value distributions
- Time-varying copula models for financial time series
- Modeling influenza-like illness activity in the United States
- A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
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- On change-point estimation under Sobolev sparsity
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- Gradual change-point analysis based on Spearman matrices for multivariate time series
- Testing for changes in Kendall's tau
- Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions
- A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Tests of serial dependence for multivariate time series with arbitrary distributions
- 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
- A monitoring procedure for detecting structural breaks in factor copula models
- Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
- Change-point problems for multivariate time series using pseudo-observations
- Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series
- Monitoring Network Changes in Social Media
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