A semiparametric maximum likelihood ratio test for the change point in copula models

DOI10.1016/j.stamet.2013.02.003zbMath1486.62145MaRDI QIDQ1756184

Salim Bouzebda, Amor Keziou

Publication date: 14 January 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2013.02.003

zbMATH Keywords

copulas; dependence function; Brownian bridge; semiparametric inference; change point; extreme value asymptotics; multivariate rank statistics; weighted approximations; likelihood ratio processes

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62H05: Characterization and structure theory for multivariate probability distributions; copulas

62F05: Asymptotic properties of parametric tests

Related Items

Semiparametric method for identifying multiple change-points in financial market, Copula parameter change test for nonlinear AR models with nonlinear GARCH errors, Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points, Asymptotic properties of semiparametric \(M\)-estimators with multiple change points, Strong approximation of multidimensional \(\mathbb P\)-\(\mathbb P\) plots processes by Gaussian processes with applications to statistical tests

Uses Software

• QRM

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