Change point detection in SCOMDY models

DOI10.1007/s10182-012-0200-yzbMath1443.62232OpenAlexW1988930584MaRDI QIDQ1621241

Sangyeol Lee, Okyoung Na, Ji-Yeon Lee

Publication date: 8 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-012-0200-y

zbMATH Keywords

change point testCUSUM testpseudo maximum likelihood estimatorsemiparametric copula

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Parameter change test for autoregressive conditional duration models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test ⋮ Copula parameter change test for nonlinear AR models with nonlinear GARCH errors

Cites Work

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• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• An introduction to copulas.
• Change analysis of a dynamic copula for measuring dependence in multivariate financial data
• The Cusum Test for Parameter Change in Regression Models with ARCH Errors
• The Cusum Test for Parameter Change in Time Series Models
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Change point detection in copula ARMA–GARCH Models
• Asymptotic Normality of Nonparametric Tests for Independence

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