Monitoring test for stability of copula parameter in time series
Affiliation:
1. Department of Applied Information Statistics, Kyonggi University, Suwon, 443-760, Republic of Korea;2. Department of Statistics, Seoul National University, Seoul, 151-747, Republic of Korea
Abstract:
In this paper, we consider a monitoring procedure to detect changes of the copula parameter of strong mixing processes. We propose two monitoring procedures based on the cumulative sums of scores evaluated at consistent copula parameter estimates and their fluctuations. We investigate the asymptotic properties of our monitoring procedures under both the null of no change in the copula parameter and its alternative. We also illustrate a simulation study and a real data analysis.