Multivariate Kendall's tau for change-point detection in copulas

DOI10.1002/cjs.11150zbMath1273.62133OpenAlexW2124640943MaRDI QIDQ2852553

Mériem Saïd, Jean-François Quessy, Anne-Catherine Favre

Publication date: 9 October 2013

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11150

zbMATH Keywords

climate changemultiplier central limit theorem

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05)

Related Items (11)

Detecting breaks in the dependence of multivariate extreme-value distributions ⋮ Testing the constancy of Spearman's rho in multivariate time series ⋮ Bivariate copulas on the Hotelling's T² control chart ⋮ Measuring association and dependence between random vectors ⋮ Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series ⋮ Dependent multiplier bootstraps for non-degenerate \(U\)-statistics under mixing conditions with applications ⋮ Ordinal pattern dependence as a multivariate dependence measure ⋮ Multivariate copulas on the MCUSUM control chart ⋮ Detecting changes in cross-sectional dependence in multivariate time series ⋮ TESTING FOR CHANGES IN KENDALL’S TAU ⋮ Change-point problems for multivariate time series using pseudo-observations

Cites Work

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• Testing for changes using permutations of U-statistics
• Data driven rank test for the change point problem
• An introduction to copulas.
• Empirical likelihood ratio test for the change-point problem
• Invariance principles for changepoint problems
• On the invariance principle for U-statistics
• Rates of convergence for U-statistic processes and their bootstrapped versions
• Weak convergence and empirical processes. With applications to statistics
• Rank tests for changepoint problems
• Permutation tests in change point analysis

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