Change point detection in SCOMDY models

被引：7
|
作者：
Na, Okyoung [1 ]
Lee, Jiyeon [2 ]
Lee, Sangyeol [2 ]
机构：
[1] Kyonggi Univ, Dept Appl Informat Stat, Suwon 443760, South Korea
[2] Seoul Natl Univ, Dept Stat, Seoul 151747, South Korea
来源：
ASTA-ADVANCES IN STATISTICAL ANALYSIS | 2013年 / 97卷 / 03期
基金：
新加坡国家研究基金会;
关键词：
Semiparametric copula; Change point test; Cusum test; Pseudo maximum likelihood estimator; COPULA; DEPENDENCE;
D O I：
10.1007/s10182-012-0200-y
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：215 / 238
页数：24
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