Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions

DOI10.1016/j.spl.2016.06.026zbMath1398.62112arXiv1506.01894OpenAlexW2963875837MaRDI QIDQ151787

Tom Rohmer, Tom Rohmer

Publication date: December 2016

Published in: Statistics & Probability Letters, Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.01894

zbMATH Keywords

non-parametric testsMonte Carlo experimentssequential empirical copula process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Functional limit theorems; invariance principles (60F17)

Related Items

npcopTest, Change-point problems for multivariate time series using pseudo-observations

Uses Software

• R
• copula
• copula

Cites Work

• Detecting changes in cross-sectional dependence in multivariate time series
• Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Nonparametric tests for change-point detection à la Gombay and Horváth
• TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
• Large-sample tests of extreme-value dependence for multivariate copulas
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