Semiparametric score test for varying copula parameter in Markov time series

DOI10.1080/02331880903445113zbMath1291.62155OpenAlexW2050129523MaRDI QIDQ5402593

No author found.

Publication date: 14 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880903445113

zbMATH Keywords

copulabootstrapscore testsemiparametricvarying parameter modelling

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: hypothesis testing (62M02)

Cites Work

• Unnamed Item
• Estimation of copula-based semiparametric time series models
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Large deviations and law of the iterated logarithm for partial sums normalized by the largest absolute observation
• Testing for the Constancy of Parameters Over Time
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Testing homogeneity over time of a parameter of a markov sequence
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Linear Statistical Inference and its Applications

This page was built for publication: Semiparametric score test for varying copula parameter in Markov time series