Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique

Authors:
Axel BüCher;Martin Ruppert
Affiliations:
Ruhr-Universität Bochum, Universitätsstraíe 150, 44780 Bochum, Germany;Graduate School of Risk Management and Department of Economic and Social Statistics, University of Cologne, Albertus-Magnus-Platz, 50923 Köln, Germany
Venue:
Journal of Multivariate Analysis
Year:
2013

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Abstract

Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or unspecified change point (candidate) are derived; the tests are consistent against general alternatives. A tapered block multiplier technique based on serially dependent multiplier random variables is provided to estimate p-values of the test statistics. Size and power of the tests in finite samples are evaluated with Monte Carlo simulations. The block multiplier technique might have several other applications for statistical inference on copulas of serially dependent data.