Multivariate Kendall's tau for change-point detection in copulas
Author:
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/cjs.11150/fullpdf
Reference18 articles.
1. Permutation tests in change point analysis;Antoch;Statistics & Probability Letters,2001
2. Data driven rank test for the change point problem;Antoch;Metrika,2008
3. Asymptotically optimal methods of change-point detection for composite hypotheses;Brodsky;Journal of Statistical Planning and Inference,2005
4. Invariance principles for changepoint problems;Csörgǫ;Journal of Multivariate Analysis,1988
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