Monitoring test for stability of copula parameter in time series

DOI10.1016/j.jkss.2014.08.002zbMath1304.62115OpenAlexW2071565896MaRDI QIDQ488592

Okyoung Na, Sangyeol Lee, Ji-Yeon 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

pseudo-maximum likelihood estimatorsequential testcopula parameter changecumulative sum of scoresmonitoring for stabilitystrong mixing process

Mathematics Subject Classification ID

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

Related Items (1)

A monitoring procedure for detecting structural breaks in factor copula models

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