Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique

JOURNAL OF MULTIVARIATE ANALYSIS

卷:116

Article

Buecher, Axel¹  Ruppert, Martin² 

[1] Ruhr Univ Bochum, D-44780 Bochum, Germany

[2] Univ Cologne, Grad Sch Risk Management, D-50923 Cologne, Germany

关键词: Change point test;    Copula;    Empirical copula process;    Nonparametric estimation;    Time series;    Strong mixing;    Multiplier central limit theorem;   

DOI  :  10.1016/j.jmva.2012.12.002

来源: Elsevier

【 摘 要 】

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 in finite samples are evaluated with Monte Carlo simulations. The block multiplier technique might have several other applications for statistical inference on copulas of serially dependent data. (C) 2012 Elsevier Inc. All rights reserved.

【 授权许可】

Free