학술논문

Change point detection in copula ARMA-GARCH Models.
Document Type
Article
Source
Journal of Time Series Analysis. Jul2012, Vol. 33 Issue 4, p554-569. 16p. 4 Charts.
Subject
*CHANGE-point problems
*AUTOREGRESSION (Statistics)
*MOVING average process
*GARCH model
*PARAMETER estimation
*COPULA functions
*MAXIMUM likelihood statistics
Language
ISSN
0143-9782
Abstract
In this article, we consider the problem of testing for a copula parameter change based on the cusum test. We first handle this issue in i.i.d. samples and extend it to semiparametric copula ARMA-GARCH models. We construct the cusum test based on pseudo maximum likelihood estimation of the copula parameter and derive its limiting null distribution. Simulation results are reported for illustration. [ABSTRACT FROM AUTHOR]