STATSCALE SEMINARS
PREVIOUS SEMINAR - 4th March 2022

Bouchra Nasri (University of Montreal)

Title: Change-Point Problems For Multivariate Time Series Using Pseudo-Observations

 

Abstract- In this talk, I will show that under weak assumptions, the change-point tests designed for independent random vectors can also be used with pseudo-observations for testing change-point in the joint distribution of non-observable random vectors, the associated copula, or the margins, without modifying the limiting distributions. In particular, change-point tests can be applied to the residuals of stochastic volatility models or conditional distribution functions applied to the observations, which are prime examples of pseudo-observations. Since the limiting distribution of test statistics depends on the unknown joint distribution function or its associated unknown copula when the dimension is greater than one, I will also show that iid multipliers and traditional bootstrap can be used with pseudo-observations to approximate P-values for the test statistics. Numerical experiments and examples of applications to change-point problems are given.

 

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