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Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions

Abstract

Tests for break points detection in the law of random vectors have been proposed in several papers. Nevertheless, they have often little powers for alternatives involving a change in the dependence between components of vectors. Specific tests for detection of a change in the copula of random vectors have been proposed in recent papers, but they do not allow to conclude of a change in the dependence structure without condition that the margins are constant. The goal of this article is to propose a test for detection of a break in the copula when a change in marginal distribution occurs at a known instant. The performances of this test are illustrated by Monte Carlo simulations.

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