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• W2950545947 abstract "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." @default.
• W2950545947 created "2019-06-27" @default.
• W2950545947 creator A5012554459 @default.
• W2950545947 creator A5031857876 @default.
• W2950545947 date "2012-06-08" @default.
• W2950545947 modified "2023-09-27" @default.
• W2950545947 title "Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique" @default.
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