Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
نویسندگان
چکیده
منابع مشابه
Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or unspecified change point (candidate) are derived; the tests are consistent against general alternatives. A tapered block multiplier technique based on serially dependent multiplier random variables is provided to estimate p-values of the test statistics. Size and power of the tests ...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2013
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2012.12.002