Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points

DOI10.3103/S1066530714010037zbMath1297.62039OpenAlexW1988356103MaRDI QIDQ461823

Salim Bouzebda

Publication date: 15 October 2014

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s1066530714010037

zbMATH Keywords

dependence functionBrownian bridgemultiplier central limit theoremsemiparametric inferenceexchangeable bootstrapmultiple change-pointsmultivariate rank statisticspseudo observations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Point estimation (62F10)

Related Items (9)

Semiparametric method for identifying multiple change-points in financial market ⋮ Additive regression model for stationary and ergodic continuous time processes ⋮ Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points ⋮ Some applications of the strong approximation of the integrated empirical copula processes ⋮ Strong approximation of multidimensional \(\mathbb P\)-\(\mathbb P\) plots processes by Gaussian processes with applications to statistical tests ⋮ Strong approximations for the \(p\)-fold integrated empirical process with applications to statistical tests ⋮ Some asymptotic results for the integrated empirical process with applications to statistical tests ⋮ Some Nonparametric Tests for Change-Point Detection Based on the ℙ-ℙ and ℚ-ℚ Plot Processes ⋮ Asymptotic properties of semiparametric \(M\)-estimators with multiple change points

Uses Software

• QRM
• TwoCop

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