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

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  • Rohmer, Tom

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.

Suggested Citation

  • Rohmer, Tom, 2016. "Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 45-54.
    • Handle: RePEc:eee:stapro:v:119:y:2016:i:c:p:45-54
    DOI: 10.1016/j.spl.2016.06.026
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    References listed on IDEAS

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    1. Inoue, Atsushi, 2001. "Testing For Distributional Change In Time Series," Econometric Theory, Cambridge University Press, vol. 17(1), pages 156-187, February.
    2. Bai, J., 1994. "Stochastic Equicontinuity and Weak Convergence of Unbounded Sequential Empirical Proceses," Working papers 94-07, Massachusetts Institute of Technology (MIT), Department of Economics.
    3. Atsushi Inoue, "undated". "Testing Change in Time Series," Computing in Economics and Finance 1997 7, Society for Computational Economics.
    4. Bücher, Axel & Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2014. "Detecting changes in cross-sectional dependence in multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 111-128.
    5. Holmes, Mark & Kojadinovic, Ivan & Quessy, Jean-François, 2013. "Nonparametric tests for change-point detection à la Gombay and Horváth," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 16-32.
    6. Segers, Johan, 2012. "Asymptotics of empirical copula processes under non-restrictive smoothness assumptions," LIDAM Reprints ISBA 2012009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Kojadinovic, Ivan & Segers, Johan & Yan, Jun, 2011. "Large-sample tests of extreme-value dependence for multivariate copulas," LIDAM Reprints ISBA 2011025, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    8. Bucher, Axel & Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2014. "Detecting changes in cross-sectional dependence in multivariate time series," LIDAM Reprints ISBA 2014020, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    9. Kojadinovic, Jean D. & Segers, Johan & Yan, Yun, 2011. "Large-sample tests of extreme-value dependence for multivariate copulas," LIDAM Discussion Papers ISBA 2011012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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    Cited by:

    1. Nasri, Bouchra R. & Rémillard, Bruno N. & Bahraoui, Tarik, 2022. "Change-point problems for multivariate time series using pseudo-observations," Journal of Multivariate Analysis, Elsevier, vol. 187(C).

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