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A semiparametric maximum likelihood ratio test for the change point in copula models

✍ Scribed by Bouzebda, Salim; Keziou, Amor


Book ID
120030560
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
373 KB
Volume
14
Category
Article
ISSN
1572-3127

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We study the asymptotics of maximum-likelihood ratio-type statistics for testing a sequence of observations for no change in parameters against a possible change while some nuisance parameters remain constant over time. We obtain extreme value as well as Gaussian-type approximations for the likeliho