Monitoring Test for Stability of Dependence Structure in Multivariate Data Based on Copula

Abstract

Abstract:In this paper, we consider a sequential monitoring procedure for detecting changes in copula function. We propose a cusum type of monitoring test based on the empirical copula function and apply it to the detection of the distributional changes in copula function. We investigate the asymptotic properties of the stopping time and show that under regularity conditions, its limiting null distribution is the same as the sup of Kiefer process. Moreover, we utilize the bootstrap method in order to obtain the limiting distribution. A simulation study and a real data analysis are conducted to evaluate our test.