Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series

DOI10.1007/s00362-016-0846-8zbMath1419.62244MaRDI QIDQ2423187

Jean-François Quessy

Publication date: 21 June 2019

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

Full work available at URL: https://doi.org/10.1007/s00362-016-0846-8

zbMATH Keywords

copula; sequential empirical process; gradual-change model; serial multiplier bootstrap

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

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

62G20: Asymptotic properties of nonparametric inference

62H15: Hypothesis testing in multivariate analysis

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

Uses Software

• TwoCop