Gradual change-point analysis based on Spearman matrices for multivariate time series
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Cites work
- A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
- A Non-Parametric Approach to the Change-Point Problem
- A note on estimating the change-point of a gradually changing stochastic process
- A test for a change in a parameter occurring at an unknown point
- An introduction to copulas.
- Asymptotic theory of weakly dependent stochastic processes
- Change point analysis based on empirical characteristic functions
- Change-Point Analysis Based on Empirical Characteristic Functions of Ranks
- Change-point detection based on weighted two-sample U-statistics
- Change-point problems for multivariate time series using pseudo-observations
- Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
- Detecting changes in cross-sectional dependence in multivariate time series
- Detecting gradual changes in locally stationary processes
- Gradual changes versus abrupt changes.
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- scientific article; zbMATH DE number 425941 (Why is no real title available?)
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 812590 (Why is no real title available?)
- Multivariate Kendall's tau for change-point detection in copulas
- Nonparametric change-point estimation
- On Estimation of a Probability Density Function and Mode
- Rank tests for changepoint problems
- Test Procedures for Possible Changes in Parameters of Statistical Distributions Occurring at Unknown Time Points
- Testing for changes in Kendall's tau
- Testing for distributional change in time series
- Testing the constancy of Spearman's rho in multivariate time series
- The Performance of Control Charts and Cusums Under Linear Trend
- Weak convergence and empirical processes. With applications to statistics
- Weak convergence of empirical copula processes
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