English

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

Statistics Theory 2016-03-28 v2 Statistics Theory

Abstract

Tests for break points detection in the law of random vectors have been proposed in several papers. Nevertheless, they have often little powers for alternatives involving a change in the dependence between components of vectors. Specific tests for detection of a change in the copula of random vectors have been proposed in recent papers, but they do not allow to conclude of a change in the dependence structure without condition that the margins are constant. The goal of this article is to propose a test for detection of a break in the copula when a change in marginal distribution occurs at a known instant. The performances of this test are illustrated by Monte Carlo simulations.

Keywords

Cite

@article{arxiv.1506.01894,
  title  = {Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions},
  author = {Tom Rohmer},
  journal= {arXiv preprint arXiv:1506.01894},
  year   = {2016}
}

Comments

16 pages, 5 tables