{"title":"Copula parameter change test for nonlinear AR models with nonlinear GARCH errors","authors":"Sangyeol Lee , Byungsoo Kim","doi":"10.1016/j.stamet.2014.12.001","DOIUrl":null,"url":null,"abstract":"<div><p><span><span>In this paper, we study the problem of testing for a copula<span> parameter change in nonlinear autoregressive (AR) models with nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) errors. To perform a test, we propose the cusum test based on pseudo maximum likelihood estimates of copula parameters. We derive its limiting </span></span>null distribution under </span>regularity conditions. For illustration, we conduct a simulation study with an emphasis on STAR–STGARCH models. A real data analysis applied to the S&P 500 index and IBM stock price is also considered.</p></div>","PeriodicalId":48877,"journal":{"name":"Statistical Methodology","volume":"25 ","pages":"Pages 1-22"},"PeriodicalIF":0.0000,"publicationDate":"2015-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1016/j.stamet.2014.12.001","citationCount":"6","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistical Methodology","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1572312715000027","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q","JCRName":"Mathematics","Score":null,"Total":0}
引用次数: 6
Abstract
In this paper, we study the problem of testing for a copula parameter change in nonlinear autoregressive (AR) models with nonlinear generalized autoregressive conditional heteroskedasticity (GARCH) errors. To perform a test, we propose the cusum test based on pseudo maximum likelihood estimates of copula parameters. We derive its limiting null distribution under regularity conditions. For illustration, we conduct a simulation study with an emphasis on STAR–STGARCH models. A real data analysis applied to the S&P 500 index and IBM stock price is also considered.
期刊介绍：
Statistical Methodology aims to publish articles of high quality reflecting the varied facets of contemporary statistical theory as well as of significant applications. In addition to helping to stimulate research, the journal intends to bring about interactions among statisticians and scientists in other disciplines broadly interested in statistical methodology. The journal focuses on traditional areas such as statistical inference, multivariate analysis, design of experiments, sampling theory, regression analysis, re-sampling methods, time series, nonparametric statistics, etc., and also gives special emphasis to established as well as emerging applied areas.
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