Change point detection in SCOMDY models

Okyoung Na, Jiyeon Lee and Sangyeol Lee ()

AStA Advances in Statistical Analysis, 2013, vol. 97, issue 3, 215-238

Abstract: In this article, we consider the problem of testing for a copula parameter change in semiparametric copula-based multivariate dynamic models which cover ARMA-GARCH models. We construct the test statistics based on a pseudo MLE of the copula parameter and derive its limiting null distribution. Simulation results are provided for illustration. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Semiparametric copula; Change point test; Cusum test; Pseudo maximum likelihood estimator (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:alstar:v:97:y:2013:i:3:p:215-238

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DOI: 10.1007/s10182-012-0200-y

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