Tests for break points detection in the law of random vectors have beenproposed in several papers. Nevertheless, they have often little powers foralternatives involving a change in the dependence between components ofvectors. Specific tests for detection of a change in the copula of randomvectors have been proposed in recent papers, but they do not allow to concludeof a change in the dependence structure without condition that the margins areconstant. The goal of this article is to propose a test for detection of abreak in the copula when a change in marginal distribution occurs at a knowninstant. The performances of this test are illustrated by Monte Carlosimulations.
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机译:已经在几篇论文中提出了根据随机向量定律进行断点检测的测试。然而,它们常常没有涉及矢量成分之间依存关系变化的替代品的权力。在最近的论文中已经提出了用于检测随机向量的语系变化的特定测试,但是在没有边距恒定的条件下,它们不允许推断依赖结构的变化。本文的目的是提出一种检测方法,用于在已知即时发生边际分布变化时检测眼睑断裂。 Monte Carlosimulations说明了该测试的性能。
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