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DTSTAMP:20251109T025648Z
DESCRIPTION:Title: Change-point problems for multivariate time series using
  pseudo-observations.\n\nAbstract: In this talk\, it is shown that under w
 eak assumptions\, the change-point tests designed for independent random v
 ectors can also be used with pseudo-observations for testing change-point 
 in the joint distribution of non-observable random vectors\, the associate
 d copula\, or the margins\, without modifying the limiting distributions. 
 In particular\, change-point tests can be applied to the residuals of stoc
 hastic 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\, we also show that iid multipliers and traditional bo
 otstrap can be used with pseudo-observations to approximate P-values for t
 he test statistics. Numerical experiments are performed in order to compar
 e the different statistics and bootstrapping methods. Examples of applicat
 ions to change-point problems are given. This is joint work with Bouchra R
 . Nasri and Tarik Bahraoui.\n\n \n\nSeminar Statistique Sherbrooke\n	En lig
 ne\n
DTSTART:20210331T193000Z
DTEND:20210331T203000Z
SUMMARY:Bruno Rémillard\, HEC Montréal et Université de Sherbrooke
URL:/mathstat/channels/event/bruno-remillard-hec-montr
 eal-et-universite-de-sherbrooke-329603
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