JSM 2003 Online Program

Abstract #300969

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Activity Number:	175
Type:	Contributed
Date/Time:	Monday, August 4, 2003 : 2:00 PM to 3:50 PM
Sponsor:	Section on Nonparametric Statistics
Abstract - #300969
Title:	Copula Changepoint Models
Author(s):	Kouros Owzar*+ and Pranab K. Sen
Companies:	Duke University and University of North Carolina, Chapel Hill
Address:	5015 Bridgewood Dr., Durham, NC, 27713-8128,
Keywords:	Copula ; changepoint ; dependence
Abstract:	In modeling dependent multivariate data, one needs to take into account that the degree or structure of the dependence may be subject to change. If that is the case, the invocation of typical iid assumptions may be improvident and the consideration of a dependence changepoint model may be in order. One- parameter copulas yield the joint distribution expressible as a function of its marginals and a finite-dimensional parameter. The aim of this work is to illustrate the utility of copulas in formulating dependence changepoint models. Estimation as well as testing procedures will be proposed.

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