Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions

Tom Rohmer

Statistics & Probability Letters, 2016, vol. 119, issue C, 45-54

Abstract: A non-parametric test is proposed for detecting changes in the dependence between the components of multivariate data, when changes in marginal distributions occur at known instants. Monte Carlo simulations have been carried out to illustrate the performance of the procedure.

Keywords: Non-parametric tests; Sequential empirical copula process; Monte Carlo experiments (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2016.06.026

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