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

2015/06/05 by Rohmer, Tom
Mathematics · #FOS: Mathematics #Statistics Theory (math.ST) #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1506.01894

16 pages, 5 tables

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.

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