changepointTests

swMATH40761CRANchangepointTestsMaRDI QIDQ1354583FDOQ1354583

Change Point Tests for Joint Distributions and Copulas

Bouchra R. Nasri, Bruno N Remillard

Last update: 12 February 2024

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.1.1, 0.1.5

Source code repository: https://github.com/cran/changepointTests

Description

Change point tests for joint distributions and copulas using pseudo-observations with multipliers or bootstrap. The processes used here have been defined in Bucher, Kojadinovic, Rohmer & Segers <doi:10.1016/j.jmva.2014.07.012> and Nasri & Remillard <doi:10.1016/j.jmva.2019.03.002>.

Cites work

• Detecting changes in cross-sectional dependence in multivariate time series
• Copula-based dynamic models for multivariate time series

Described by source

• Change-point problems for multivariate time series using pseudo-observations

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