Change point detection in copula ARMA–GARCH Models

DOI10.1111/j.1467-9892.2011.00763.xzbMath1281.62182OpenAlexW1673571870MaRDI QIDQ5397933

Okyoung Na, Ji-Yeon Lee, Sangyeol Lee

Publication date: 25 February 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2011.00763.x

zbMATH Keywords

change point testpseudo maximum likelihood estimatorcusum testcopula ARMA-GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Stochastic approximation (62L20) Non-Markovian processes: hypothesis testing (62M07)

Related Items (9)

Change point detection in SCOMDY models ⋮ Parameter change test for autoregressive conditional duration models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points ⋮ Copula parameter change test for nonlinear AR models with nonlinear GARCH errors ⋮ Monitoring test for stability of copula parameter in time series ⋮ Some applications of the strong approximation of the integrated empirical copula processes ⋮ A semiparametric maximum likelihood ratio test for the change point in copula models ⋮ A nonparametric test for a constant correlation matrix

Cites Work

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• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• Maximum Likelihood Estimation of Misspecified Models

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