61 citations · 61 across the 2 of their papers we have counts for
3 papers
math.ST2015
Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions
Tom Rohmer
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…
stat.ME2014
Testing the constancy of Spearman's rho in multivariate time series
Ivan Kojadinovic, Jean-François Quessy, Tom Rohmer
A class of tests for change-point detection designed to be particularly sensitive to changes in the cross-sectional rank correlation of multivariate time series is proposed. The de…
math.ST2012★ 61 cited
Detecting changes in cross-sectional dependence in multivariate time series
Axel Bücher, Ivan Kojadinovic, Tom Rohmer +1
Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional d…