Multivariate Kendall's tau for change-point detection in copulas
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Cites work
- An introduction to copulas.
- Asymptotically optimal methods of change-point detection for composite hypotheses
- Data driven rank test for the change point problem
- Empirical likelihood ratio test for the change-point problem
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 812590 (Why is no real title available?)
- Invariance principles for changepoint problems
- On the invariance principle for U-statistics
- Permutation tests in change point analysis
- Rank tests for changepoint problems
- Rates of convergence for U-statistic processes and their bootstrapped versions
- Testing for changes using permutations of U-statistics
- Weak convergence and empirical processes. With applications to statistics
Cited in
(19)- Detecting changes in cross-sectional dependence in multivariate time series
- Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions
- Estimators based on trimmed Kendall's tau in multivariate copula models
- Change-point problems for multivariate time series using pseudo-observations
- Ordinal pattern dependence as a multivariate dependence measure
- Detecting breaks in the dependence of multivariate extreme-value distributions
- Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
- Testing the constancy of Spearman's rho in multivariate time series
- Measuring association and dependence between random vectors
- Bivariate copulas on the Hotelling's \(T^2\) control chart
- Robust multivariate change point analysis based on data depth
- Detecting dependence with Kendall plots
- Multivariate copulas on the MCUSUM control chart
- Testing for changes in Kendall's tau
- Gradual change-point analysis based on Spearman matrices for multivariate time series
- Kendall's tau-based inference for gradually changing dependence structures
- Simultaneous computation of Kendall's tau and its jackknife variance
- Directional -coefficients
- Dependent multiplier bootstraps for non-degenerate U-statistics under mixing conditions with applications
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