Monitoring test for stability of copula parameter in time series

DOI10.1016/J.JKSS.2014.08.002zbMATH Open1304.62115OpenAlexW2071565896MaRDI QIDQ488592FDOQ488592

Okyoung Na, Jiyeon Lee, Sangyeol Lee

Publication date: 26 January 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.08.002

zbMATH Keywords

sequential testcopula parameter changecumulative sum of scoresmonitoring for stabilitypseudo-maximum likelihood estimatorstrong mixing process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

Cites Work

• Asymptotic Statistics
• SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
• Break detection in the covariance structure of multivariate time series models
• Almost sure invariance principles for partial sums of mixing B-valued random variables
• Bootstrapping sequential change-point tests for linear regression
• Estimation of copula-based semiparametric time series models
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Monitoring Structural Change
• Copula–Based Models for Financial Time Series
• On testing equality of pairwise rank correlations in a multivariate random vector
• A maximal inequality and dependent Marcinkiewicz-Zygmund strong laws
• Title not available (Why is that?)
• Asymptotic Normality of Nonparametric Tests for Independence
• Monitoring changes in linear models
• On strong invariance principles under dependence assumptions
• The Cusum Test for Parameter Change in Time Series Models
• Monitoring correlation change in a sequence of random variables
• Monitoring parameter change in time series models
• Weak convergence for weighted empirical processes of dependent sequences
• Change point detection in copula ARMA–GARCH Models
• Change analysis of a dynamic copula for measuring dependence in multivariate financial data

Cited In (1)

• A monitoring procedure for detecting structural breaks in factor copula models

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