Consistent Estimation of Multiple Breakpoints in Dependence Measures
Consistent Estimation of Multiple Breakpoints in Dependence Measures
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Publisher
Alexandria: Taylor & Francis
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Language
English
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Publisher
Alexandria: Taylor & Francis
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Contents
This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of br...
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Full title
Consistent Estimation of Multiple Breakpoints in Dependence Measures
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Author / Creator
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TN_cdi_proquest_journals_3033805228
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_3033805228
Other Identifiers
ISSN
0735-0015
E-ISSN
1537-2707
DOI
10.1080/07350015.2023.2224850
