Change point detection in SCOMDY models |
| |
| Authors: | Okyoung Na Jiyeon Lee Sangyeol Lee |
| |
| Institution: | 1. Department of Applied Information Statistics, Kyonggi University, Suwon, 443-760, Korea
2. Department of Statistics, Seoul National University, Seoul, 151-747, Korea
|
| |
| Abstract: | 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. |
| |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
