A semiparametric maximum likelihood ratio test for the change point in copula models
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Publication:1756184
DOI10.1016/j.stamet.2013.02.003zbMath1486.62145OpenAlexW1985440942MaRDI QIDQ1756184
Publication date: 14 January 2019
Published in: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.stamet.2013.02.003
copulasdependence functionBrownian bridgesemiparametric inferencechange pointextreme value asymptoticsmultivariate rank statisticsweighted approximationslikelihood ratio processes
Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Asymptotic properties of parametric tests (62F05)
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Semiparametric method for identifying multiple change-points in financial market, Copula parameter change test for nonlinear AR models with nonlinear GARCH errors, Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points, Strong approximation of multidimensional \(\mathbb P\)-\(\mathbb P\) plots processes by Gaussian processes with applications to statistical tests, Asymptotic properties of semiparametric \(M\)-estimators with multiple change points
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Cites Work
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