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**based on the tapered block multiplier technique
**

Martin Ruppert

∗

November 4, 2011

Abstract

Considering multivariate strongly mixing time series, nonparametric tests for a constant

copula with speciﬁed or unspeciﬁed change point (candidate) are derived; the tests are

consistent against general alternatives. A tapered block multiplier technique based on

serially dependent multiplier random variables is provided to estimate p-values of the test

statistics. Size and power of the tests in ﬁnite samples are evaluated with Monte Carlo

simulations.

Key words: Change point test; Copula; Empirical copula process; Nonparametric estima-

tion; Time series; Strong mixing; Multiplier central limit theorem.

AMS 2000 subject class.: Primary 62G05, 62G10, 60F05, Secondary 60G15, 62E20.

∗

Graduate School of Risk Management and Department of Economic and Social Statistics, University

of Cologne, Albertus-Magnus-Platz, 50923 Köln, Germany; Email: martin.ruppert@uni-koeln.de,

Tel: +49 (0) 221 4706656, Fax: +49 (0) 221 4705074.

1. Introduction

Over the last decade, copulas have become a standard tool in modern risk management.

The copula of a continuous random vector is a function which uniquely determines the

dependence structure linking the marginal distribution functions. Copulas play a pivotal

role for, e.g., measuring multivariate association [see 45], pricing multivariate options [see

48] and allocating ﬁnancial assets [see 34]. The latter two references emphasize that time

variation of copulas possesses an important impact on ﬁnancial engineering applications.

Evidence for time-varying dependence structures can indirectly be drawn from functionals

of the copula, e.g., Spearman’s ρ, as suggested by Gaißer et al. [20] and Wied et al. [51].

Investigating time variation of the copula itself, Busetti and Harvey [8] consider a nonpara-

metric quantile-based test for a constant copula. Semiparametric tests for time variation of

the parameter within a prespeciﬁed family of one-parameter copulas are proposed by Dias

and Embrechts [15] and Giacomini et al. [23]. Guegan and Zhang [24] combine tests for

constancy of the copula (on a given set of vectors on its domain), the copula family, and the

parameter. The assumption of independent and identically distributed pseudo-observations

is generally made in the latter references. With respect to ﬁnancial time-series, the estima-

tion of a GARCH model represents a frequently chosen option in order to approximate this

assumption using the residuals obtained after GARCH ﬁltration. The eﬀect of replacing

unobserved innovations by estimated residuals, however, is to be taken into account. There-

fore, speciﬁc techniques for residuals are required [cf., e.g., 11]. Exploring this approach,

Rémillard [36] investigates a nonparametric change point test for the copula of residuals in

stochastic volatility models. Avoiding the need to specify any parametric model, Fermanian

and Scaillet [19] consider purely nonparametric estimation of copulas for time-series under

strict stationarity and strong mixing conditions on the multivariate process. A recent gen-

eralization of this framework is proposed by van Kampen and Wied [50] who assume the

univariate processes to be strictly stationary but relax the assumption of a constant copula

and suggest a quantile-based test for a constant copula under strong mixing assumptions.

We introduce nonparametric Cramér-von Mises-, Kuiper-, and Kolmogorov-Smirnov tests

for a constant copula under strong mixing assumptions. The tests extend those for time-

constant quantiles by assessing constancy of the copula on its domain. In consequence,

they are consistent under general alternatives. Depending on the object of investigation,

tests with a speciﬁed or unspeciﬁed change point (candidate) are introduced. Whereas the

former setting requires a hypothesis on the change point location, it allows us to relax the

assumption of strictly stationary univariate processes. P-values of the tests are estimated

based on a generalization of the multiplier bootstrap technique introduced in Rémillard

and Scaillet [38] to the case of strongly mixing time series. The idea is comparable to block

bootstrap methods: however, instead of sampling blocks with replacement, we generate

blocks of serially dependent multiplier random variables. For a general introduction to the

latter idea, we refer to Bühlmann [6] and Paparoditis and Politis [32].

This paper is organized as follows: in Section 2, we discuss convergence of the empiri-

cal copula process under strong mixing. A result of Doukhan et al. [17] is generalized

to establish the asymptotic behavior of the empirical copula process under nonrestrictive

smoothness assumptions based on serially dependent observations. Furthermore, a tapered

block multiplier bootstrap technique for inference on the weak limit of the empirical copula

process is derived and assessed in ﬁnite samples. Tests for a constant copula with speciﬁed

or unspeciﬁed change point (candidate) which are relying on this technique are established

in Section 3.

1

2. Nonparametric inference based on serially dependent observations

As a basis for the tests introduced in the next section, the result of Segers [46] on the asymp-

totic behavior of the empirical copula process under nonrestrictive smoothness assumptions

is generalized to enable its applicability to serially dependent observations. Furthermore,

we introduce a multiplier-based resampling method for this particular setting, establish its

asymptotic behavior and investigate performance in ﬁnite samples.

2.1. Asymptotic theory

Consider a vector-valued process (X

j

)

j∈Z

with X

j

= (X

j,1

, . . . , X

j,d

) taking values in R

d

.

Let F

i

be the distribution function of X

j,i

for all j ∈ Z, i = 1, . . . , d and let F be the

joint distribution of X

j

for all j ∈ Z. Assume that all marginal distribution functions are

continuous. Then, according to Sklar’s Theorem [47], there exists a unique copula C such

that F(x

1

, . . . , x

d

) = C(F

1

(x

1

), . . . , F

d

(x

d

)) for all (x

1

, . . . , x

d

) ∈ R

d

. The σ-ﬁelds generated

by X

j

, j ≤ t, and X

j

, j ≥ t, are denoted by F

t

= σ{X

j

, j ≤ t} and F

t

= σ{X

j

, j ≥ t},

respectively. We deﬁne

α(F

s

, F

s+r

) = sup

A∈Fs,B∈F

s+r

|P(A ∩ B) −P(A)P(B)|.

The strong- (or α-) mixing coeﬃcient α

X

corresponding to the process (X

j

)

j∈Z

is given by

α

X

(r) = sup

s≥0

α(F

s

, F

s+r

). The process (X

j

)

j∈Z

is said to be strongly mixing if α

X

(r) →0

for r → ∞. This type of weak dependence covers a broad range of time-series models.

Consider the following examples, cf. Doukhan [16] and Carrasco and Chen [10]:

Example 1. i) AR(1) processes (X

j

)

j∈Z

given by

X

j

= βX

j−1

+ǫ

j

,

where (ǫ

j

)

j∈Z

is a sequence of independent and identically distributed continuous innovations

with mean zero. For |β| < 1, the process is strictly stationary and strongly mixing with

exponential decay of α

X

(r).

ii) GARCH(1, 1) processes (X

j

)

j∈Z

,

X

j

= σ

j

ǫ

j

, σ

2

j

= ω +βσ

2

j−1

+αǫ

2

j−1

, (1)

where (ǫ

j

)

j∈Z

is a sequence of independent and identically distributed continuous innova-

tions, independent of σ

2

0

, with mean zero and variance one. For α + β < 1, the process is

strictly stationary and strongly mixing with exponential decay of α

X

(r).

Let X

1

, . . . , X

n

denote a sample from (X

j

)

j∈Z

. A simple nonparametric estimator of the

unknown copula C is given by the empirical copula which is ﬁrst considered by Rüschendorf

[43] and Deheuvels [13]. Depending on whether the marginal distribution functions are

assumed to be known or unknown, we deﬁne

C

n

(u) :=

1

n

n

j=1

d

i=1

1

{U

j,i

≤u

i

}

for all u ∈ [0, 1]

d

,

´

C

n

(u) :=

1

n

n

j=1

d

i=1

1

{

´

U

j,i

≤u

i

}

for all u ∈ [0, 1]

d

, (2)

2

with observations U

j,i

= F

i

(X

j,i

) and pseudo-observations

´

U

j,i

=

´

F

i

(X

j,i

) for all j = 1, . . . , n

and i = 1, . . . , d, where

´

F

i

(x) =

1

n

n

j=1

1

{X

j,i

≤x}

for all x ∈ R. Unless otherwise noted,

the marginal distribution functions are assumed to be unknown and the estimator

´

C

n

is

used. In addition to the practical relevance of this assumption, Genest and Segers [22] prove

that pseudo-observations

´

U

j,i

=

´

F

i

(X

j,i

) permit more eﬃcient inference on the copula than

observations U

j,i

for a broad class of copulas.

Doukhan et al. [17] investigate dependent observations and establish the asymptotic behav-

ior of the empirical copula process, deﬁned by

√

n{

´

C

n

−C}, assuming the copula to possess

continuous partial derivatives on [0, 1]

d

. Segers [46] points out that many popular families

of copulas (e.g., the Gaussian, Clayton, and Gumbel families) do not satisfy the assumption

of continuous ﬁrst partial derivatives on [0, 1]

d

. He establishes the asymptotic behavior of

the empirical copula for serially independent observations under the weaker condition

D

i

C(u) exists and is continuous on

_

u ∈ [0, 1]

d

|u

i

∈ (0, 1)

_

for all i = 1, . . . , d. (3)

Under Condition (3), the partial derivatives’ domain can be extended to u ∈ [0, 1]

d

by

D

i

C(u) =

_

¸

_

¸

_

lim

h→0

C(u+he

i

)−C(u)

h

for all u ∈ [0, 1]

d

, 0 < u

i

< 1,

limsup

h↓0

C(u+he

i

)

h

for all u ∈ [0, 1]

d

, u

i

= 0,

limsup

h↓0

C(u)−C(u−he

i

)

h

for all u ∈ [0, 1]

d

, u

i

= 1,

(4)

and for all i = 1, . . . , d, where e

i

denotes the ith column of a d × d identity matrix. A

result of Bücher [4] permits to establish the asymptotic behavior of the empirical copula

process in the case of serially dependent observations. The following Theorem is based on

nonrestrictive smoothness assumptions and mild assumptions on the strong mixing rate:

Theorem 1. Consider observations X

1

, . . . , X

n

, drawn from a strictly stationary process

(X

j

)

j∈Z

satisfying the strong mixing condition α

X

(r) = O(r

−a

) for some a > 1. If C

satisﬁes Condition (3), then the empirical copula process converges weakly in the space of

uniformly bounded functions on [0, 1]

d

equipped with the uniform metric

_

ℓ

∞

([0, 1]

d

), .

∞

_

:

√

n

_

´

C

n

(u) −C(u)

_

w.

−→G

C

(u),

whereas G

C

represents a Gaussian process given by

G

C

(u) = B

C

(u) −

d

i=1

D

i

C(u)B

C

_

u

(i)

_

for all u ∈ [0, 1]

d

. (5)

The vector u

(i)

denotes the vector where all coordinates, except the ith coordinate of u, are

replaced by 1. The process B

C

is a tight centered Gaussian process on [0, 1]

d

with covariance

function

Cov(B

C

(u)B

C

(v)) =

j∈Z

Cov

_

1

{U

0

≤u}

, 1

{U

j

≤v}

_

for all u, v ∈ [0, 1]

d

. (6)

The proof is given in 5. Notice that the covariance structure as given in Equation (6)

depends on the entire process (X

j

)

j∈Z

. If the marginal distribution functions F

i

, i = 1, . . . , d,

are known then the limiting process reduces to B

C

. In this particular case, Condition (3)

is not necessary to establish weak convergence of the empirical copula process.

3

2.2. Resampling techniques

In this Section, a generalized multiplier bootstrap technique is introduced which is appli-

cable in the case of serially dependent observations. Moreover, a generalized asymptotic

result is obtained for the (moving) block bootstrap which serves as a benchmark for the

new technique in the following ﬁnite sample assessment.

Fermanian et al. [18] investigate the empirical copula process for independent and identi-

cally distributed observations X

1

, . . . , X

n

and prove consistency of the nonparametric boot-

strap method which is based on sampling with replacement from X

1

, . . . , X

n

. We denote a

bootstrap sample by X

B

1

, . . . , X

B

n

and deﬁne

´

C

B

n

(u) :=

1

n

n

j=1

1

{

´

U

B

j

≤u}

for all u ∈ [0, 1]

d

,

´

U

B

j,i

:=

1

n

n

k=1

1

{X

B

k,i

≤X

B

j,i

}

for all j = 1, . . . , n and i = 1, . . . , d. Notice that the bootstrap empirical copula can equiva-

lently be expressed based on multinomially (n, n

−1

, . . . , n

−1

) distributed random variables

W = (W

1

, . . . , W

n

) :

´

C

W

n

(u) :=

1

n

n

j=1

W

j

1

{

´

U

W

j

≤u}

for all u ∈ [0, 1]

d

,

´

U

W

j,i

:=

1

n

n

k=1

W

k

1

{X

k,i

≤X

j,i}

for all j = 1, . . . , n and i = 1, . . . , d.

Modes of convergence which allow us to investigate weak convergence of the empirical

copula process conditional on an observed sample are considered next. The multiplier

random variables represent the remaining source of stochastic inﬂuence in this conditional

setting. The bootstrap empirical copula process converges weakly conditional on X

1

, . . . , X

n

in probability in

_

ℓ

∞

([0, 1]

d

), .

∞

_

if the following two criteria are satisﬁed, see van der

Vaart and Wellner [49], Section 3.9.3, Kosorok [30], Section 2.2.3, and Bücher and Dette

[5]:

sup

h∈BL

1

(ℓ

∞

([0,1]

d

))

¸

¸

¸E

W

h

_

√

n

_

´

C

W

n

(u) −

´

C

n

(u)

__

−Eh(G

C

(u))

¸

¸

¸

P

−→0, (7)

where E

W

denotes expectation with respect to W conditional on X

1

, . . . , X

n

. Furthermore,

E

W

h

_

√

n

_

´

C

W

n

(u) −

´

C

n

(u)

__

∗

−E

W

h

_

√

n

_

´

C

W

n

(u) −

´

C

n

(u)

__

∗

P

−→0. (8)

The function h is assumed to be uniformly bounded with Lipschitz-norm bounded by one,

i.e., h ∈ BL

1

(ℓ

∞

([0, 1]

d

)) which is deﬁned by

_

f : ℓ

∞

_

[0, 1]

d

_

→R, f

∞

≤ 1, |f(β) −f(γ)| ≤ β −γ

∞

for all γ, β ∈ ℓ

∞

_

[0, 1]

d

__

.

Moreover, h(.)

∗

and h(.)

∗

denote the measurable majorant and minorant with respect to the

joint data (i.e., X

1

, . . . , X

n

and W). In the case of independent and identically distributed

observations satisfying Condition (3), validity of criteria (7) and (8) can be proven [see

18, 4]. Hence, the bootstrap empirical copula process converges weakly conditional on

X

1

, . . . , X

n

in probability which is denoted by

√

n

_

´

C

W

n

(u) −

´

C

n

(u)

_

P

−→

W

G

C

(u).

4

Weak convergence conditional on X

1

, . . . , X

n

almost surely is deﬁned analogously.

Whereas the bootstrap is consistent for independent and identically distributed samples,

consistency generally fails for serially dependent samples. In consequence, a block bootstrap

method is proposed by Künsch [31]. Given the sample X

1

, . . . , X

n

, the block bootstrap

method requires blocks of size l

B

= l

B

(n), l

B

(n) → ∞ as n → ∞ and l

B

(n) = o(n),

consisting of consecutive observations

B

h,l

B

= {X

h+1

, . . . , X

h+l

B

}, for all h = 0, . . . , n −l

B

.

We assume n = kl

B

(else the last block is truncated) and simulate H = H

1

, . . . , H

k

indepen-

dent and uniformly distributed random variables on {0, . . . , n − l

B

}. The block bootstrap

sample is given by the observations of the k blocks B

H

1

,l

B

, . . . , B

H

k

,l

B

, i.e.,

X

B

1

= X

H

1

+1

, . . . , X

B

l

B

= X

H

1

+l

B

, X

B

l

B

+1

= X

H

2

+1

, . . . , X

B

n

= X

H

k

+l

B

.

Denote the block bootstrap empirical copula by

´

C

B

n

(u). Its asymptotic behavior is given

next:

Theorem 2. Consider observations X

1

, . . . , X

n

, drawn from a strictly stationary process

(X

j

)

j∈Z

satisfying

∞

r=1

(r + 1)

16(d+1)

_

α

X

(r) < ∞. Assume that l

B

(n) = O(n

1/2−ǫ

) for

0 < ǫ < 1/2. If C satisﬁes Condition (3), then the block bootstrap empirical copula process

converges weakly conditional on X

1

, . . . , X

n

in probability in

_

ℓ

∞

([0, 1]

d

), .

∞

_

:

√

n

_

´

C

B

n

(u) −

´

C

n

(u)

_

P

−→

H

G

C

(u).

The proof is given in 5. The previous theorem weakens the smoothness assumptions of

a result obtained by Gaißer et al. [21]; it is derived by means of an asymptotic result

on the block bootstrap for general distribution functions established by Bühlmann [6],

Theorem 3.1 and a representation of the copula as a composition of functions [18, 4]. Based

on bootstrap samples s = 1, . . . , S a set of block bootstrap realizations to estimate the

asymptotic behavior of the empirical copula process is obtained by:

´

G

B(s)

C,n

(u) =

√

n

_

´

C

B(s)

n

(u) −

´

C

n

(u)

_

for all u ∈ [0, 1]

d

.

A process related to the bootstrap empirical copula process can be formulated if both the

assumption of multinomially distributed random variables is dropped and the marginal

distribution functions are left unaltered during the resampling procedure. Consider in-

dependent and identically distributed multiplier random variables ξ

1

, . . . , ξ

n

with ﬁnite

positive mean and variance, additionally satisfying ξ

j

2,1

:=

_

∞

0

_

P(|ξ

j

| > x)dx < ∞

for all j = 1, . . . , n (whereas the last condition is slightly stronger than that of a ﬁnite

second moment). Replacing the multinomial multiplier random variables W

1

, . . . , W

n

by

ξ

1

/

¯

ξ, . . . , ξ

n

/

¯

ξ (ensuring realizations having arithmetic mean one) yields the multiplier (em-

pirical copula) process which converges weakly conditional on X

1

, . . . , X

n

in probability in

_

ℓ

∞

([0, 1]

d

), .

∞

_

, see Bücher and Dette [5]:

√

n

_

_

_

1

n

n

j=1

ξ

j

¯

ξ

1

{

´

U

j

≤u}

−

´

C

n

(u)

_

_

_

P

−→

ξ

B

C

(u).

5

For general considerations of multiplier empirical processes, we refer to the monographs of

van der Vaart and Wellner [49] and Kosorok [30]. An interesting property of the multiplier

process is its convergence to an independent copy of B

C

, both for known as well as for

unknown marginal distribution functions. The process is introduced by Scaillet [44] in a

bivariate context, a general multivariate version and its unconditional weak convergence are

investigated by Rémillard and Scaillet [38]. Bücher and Dette [5] ﬁnd that the multiplier

technique yields more precise results than the nonparametric bootstrap in mean as well as

in mean squared error when estimating the asymptotic covariance of the empirical copula

process based on independent and identically distributed samples. Hence, a generalization

of the multiplier technique is considered next. It is motivated by the fact that this technique

is inconsistent when applied to serially dependent samples. Inoue [27] develops a block

multiplier process for general distribution functions based on dependent data in which the

same multiplier random variable is used for a block of observations. We focus on copulas

and consider a reﬁnement of this technique. More precisely, a tapered block multiplier

(empirical copula) process is introduced based on the work of Bühlmann [6], Chapter 3.3

and Paparoditis and Politis [32]: The main idea is to consider a sample ξ

1

, . . . , ξ

n

from a

process (ξ

j

)

j∈Z

of serially dependent tapered block multiplier random variables, satisfying:

A1 (ξ

j

)

j∈Z

is independent of the observation process (X

j

)

j∈Z

.

A2 (ξ

j

)

j∈Z

is a positive c · l(n)-dependent process, i.e., for ﬁxed j ∈ Z, ξ

j

is independent

of ξ(j + h) for all |h| ≥ c · l(n), where c is a constant and l(n) → ∞ as n → ∞ while

l(n) = o(n).

A3 (ξ

j

)

j∈Z

is strictly stationary. For all j, h ∈ Z, assume E[ξ

j

] = µ > 0, Cov[ξ

j

, ξ

j+h

] =

µ

2

v(h/l(n)) and v is a function symmetric about zero; without loss of generality, we consider

µ = 1 and v(0) = 1. All central moments of ξ

j

are supposed to be bounded given the sample

size n.

Weak convergence of the tapered block multiplier process conditional on a sample X

1

, . . . , X

n

almost surely is established in the following theorem:

Theorem 3. Consider observations X

1

, . . . , X

n

, drawn from a strictly stationary process

(X

j

)

j∈Z

satisfying

∞

r=1

(r + 1)

c

_

α

X

(r) < ∞, whereas c = max{8d + 12, ⌊2/ǫ⌋ + 1}. Let

the tapered block multiplier process (ξ

j

)

j∈Z

satisfy A1, A2, A3 with block length l(n) →∞,

where l(n) = O(n

1/2−ǫ

) for 0 < ǫ < 1/2. The tapered block multiplier empirical copula

process converges weakly conditional on X

1

, . . . , X

n

almost surely in

_

ℓ

∞

([0, 1]

d

), .

∞

_

:

√

n

_

_

1

n

n

j=1

ξ

j

¯

ξ

1

{

´

U

j

≤u}

−

´

C

n

(u)

_

_

a.s.

−→

ξ

B

M

C

(u),

where B

M

C

(u) is an independent copy of B

C

(u).

The proof is given in 5.

Remark 1. The multiplier random variables can as well be assumed to be centered around

zero [cf. 30, Proof of Theorem 2.6]. Deﬁne ξ

0

j

:= ξ

j

−µ. Then

B

M,0

C,n

(u) =

1

√

n

n

j=1

_

ξ

0

j

−

¯

ξ

0

_

1

{

´

U

j

≤u}

=

¯

ξ

1

√

n

n

j=1

_

ξ

j

¯

ξ

−1

_

1

{

´

U

j

≤u}

=

¯

ξB

M

C,n

(u)

6

for all u ∈ [0, 1]

d

. This is an asymptotically equivalent form of the above tapered block

multiplier process:

sup

[0,1]

d

¸

¸

¸B

M,0

C,n

(u) −B

M

C,n

(u)

¸

¸

¸ = sup

[0,1]

d

¸

¸

_

¯

ξ −1

_

B

M

C,n

(u)

¸

¸

P

−→

ξ

0,

since B

M

C,n

(u) tends to a tight centered Gaussian limit. The assumption of centered multi-

plier random variables is abbreviated as A3b in the following.

There are numerous ways to deﬁne tapered block multiplier processes (ξ

j

)

j∈Z

satisfying the

above assumptions; in the following, a basic version having uniform weights and a reﬁned

version with triangular weights are investigated and compared:

Example 2. A simple form of the tapered block multiplier random variables can be deﬁned

based on moving average processes. Consider the function κ

1

which assigns uniform weights

given by

κ

1

(h) :=

_

1

2l(n)−1

for all |h| < l(n)

0 else.

Note that κ

1

is a discrete kernel, i.e., it is symmetric about zero and

h∈Z

κ

1

(h) = 1. The

tapered block multiplier process is deﬁned by

ξ

j

=

∞

h=−∞

κ

1

(h)w

j+h

for all j ∈ Z, (9)

where (w

j

)

j∈Z

is an independent and identically distributed sequence of, e.g., Gamma(q,q)

random variables with q := 1/[2l(n)−1]. The expectation of ξ

j

is then given by E[ξ

j

] = 1, its

variance by V ar[ξ

j

] = 1 for all j ∈ Z. For all j ∈ Z and |h| < 2l(n) −1, direct calculations

further yield the covariance function Cov(ξ

j

, ξ

j+h

) = {2l(n) − 1 − |h|}/{2l(n) − 1} which

linearly decreases as h increases in absolute value. The resulting sequence (ξ

j

)

j∈Z

satisﬁes

A1, A2, and A3. Exploring Remark 1, tapered block multiplier random variables can as

well be deﬁned based on sequences (w

j

)

j∈Z

of, e.g., Rademacher-type random variables w

j

characterized by P(w

j

= −1/

√

q) = P(w

j

= 1/

√

q) = 0.5 or Normal random variables

w

j

∼ N(0, 1/

√

q). In either one of these two cases, the resulting sequence (ξ

j

)

j∈Z

satisﬁes

A1, A2, and A3b. Figure 1 shows the kernel function κ

1

and simulated trajectories of

Rademacher-type tapered block multiplier random variables.

Example 3. Following Bühlmann [6], let us deﬁne the kernel function by

κ

2

(h) := max{0, {1 −|h|/l(n)}/l(n)}

for all h ∈ Z. The tapered multiplier process (ξ

j

)

j∈Z

follows Equation (9), where (w

j

)

j∈Z

is

an independent and identically distributed sequence of Gamma(q,q) random variables with

q = 2/{3l(n)} + 1/{3l(n)

3

}. The expectation of ξ

j

is given by

E[ξ

j

] =

1

l(n)

+ 2

l(n)

h=1

1

l(n)

_

1 −

h

l(n)

_

= 1.

7

−8 −6 −4 −2 0 2 4 6 8

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

h

κ

1

(

h

)

0 20 40 60 80 100

−3

−2

−1

0

1

2

3

j

ξ

j

Figure 1: Tapered block multiplier Monte Carlo simulation. Kernel function κ

1

(h) (left) and

simulated trajectories of Rademacher-type tapered block multiplier random variables ξ

1

, . . . , ξ

100

(right) with block length l(n) = 3 (solid line) and l(n) = 6 (dashed line), respectively.

−8 −6 −4 −2 0 2 4 6 8

0

0.05

0.1

0.15

0.2

0.25

0.3

0.35

0.4

h

κ

2

(

h

)

0 20 40 60 80 100

−3

−2

−1

0

1

2

3

j

ξ

j

Figure 2: Tapered block multiplier Monte Carlo simulation. Kernel function κ

2

(h) (left) and

simulated trajectories of Rademacher-type tapered block multiplier random variables ξ

1

, . . . , ξ

100

(right) with block length l(n) = 3 (solid line) and l(n) = 6 (dashed line), respectively.

For the variance, direct calculations yield

V ar[ξ

j

] =

_

_

1

l(n)

2

+ 2

l(n)

h=1

{l(n) −h}

2

l(n)

4

_

_

V ar[w

.

] =

_

2

3l(n)

+

1

3l(n)

3

_

V ar[w

.

] = 1

for all j ∈ Z. For any j ∈ Z and |h| < 2l(n) − 1, the covariance function Cov(ξ

j

, ξ

j+h

)

can be described by a parabola centered at zero and opening downward [for details, see 6,

Section 6.2]. The resulting sequence (ξ

j

)

j∈Z

satisﬁes A1, A2, and A3. Figure 2 provides an

illustration of the kernel function κ

2

as well as simulated trajectories of Rademacher-type

tapered block multiplier random variables. In this setting, (ξ

j

)

j∈Z

satisﬁes A1, A2, and

A3b. Notice the smoothing which is driven by the choice of kernel function and the block

length l(n). This eﬀect can be further explored using more sophisticated kernel functions,

e.g., with bell-shape; this is left for further research.

Given observations X

1

, . . . , X

n

of a strictly stationary process (X

j

)

j∈Z

satisfying the as-

sumptions of Theorem 3 and further satisfying Condition (3), estimation of Equation (5)

requires three steps: consider s = 1, . . . , S samples ξ

(s)

1

, . . . , ξ

(s)

n

from a tapered block multi-

plier process (ξ

j

)

j∈Z

satisfying A1, A2, A3. A set of copies of the tight centered Gaussian

8

process B

C

is obtained by

´

B

M(s)

C,n

(u) =

1

√

n

n

j=1

_

ξ

(s)

j

¯

ξ

(s)

−1

_

1

{

´

U

j

≤u}

for all u ∈ [0, 1]

d

, s = 1, . . . , S. (10)

The required adjustments for tapered block multiplier random variables satisfying A1,

A2, A3b are easily deduced from Remark 1. Finite diﬀerencing yields a nonparametric

estimator of the ﬁrst order partial derivatives D

i

C(u) :

¯

D

i

C(u) =

_

¸

¸

_

¸

¸

_

´

Cn(u+he

i

)−

´

Cn(u−he

i

)

2h

for all u ∈ [0, 1]

d

, h ≤ u

i

≤ 1 −h,

´

Cn(u+2he

i

)

2h

for all u ∈ [0, 1]

d

, 0 ≤ u

i

< h,

´

Cn(u)−

´

Cn(u−2he

i

)

2h

for all u ∈ [0, 1]

d

, 1 −h < u

i

≤ 1,

(11)

where h = 1/

√

n and e

i

denotes the ith column of the d × d identity matrix [see 46, 4].

Combining Equations (10) and (11), we obtain:

´

G

M(s)

C,n

(u) =

´

B

M(s)

C,n

(u) −

d

i=1

D

i

C

n

(u)

´

B

M(s)

C,n

_

u

(i)

_

for all u ∈ [0, 1]

d

, s = 1, . . . , S. (12)

An application of Segers [46], Proposition 3.2 proves that

´

G

M(s)

C,n

(u) converges weakly to an

independent copy of the limiting process G

C

for all s = 1, . . . , S.

2.3. Finite sample behavior

Having established the asymptotic theory, we evaluate and compare the ﬁnite sample prop-

erties of the (moving) block bootstrap and the introduced tapered block multiplier technique

when estimating the limiting covariance of the empirical copula process in MC simulations.

The results of this section complement those of Bücher and Dette [5] and Bücher [4] on boot-

strap approximations for the empirical copula process based on independent and identically

distributed observations.

We ﬁrst simulate independent and identically distributed observations from the bivariate

Clayton copula given by

C

Cl

θ

(u

1

, u

2

) =

_

u

−θ

1

+u

−θ

2

−1

_

−

1

θ

, θ > 0, (13)

for θ ∈ {1, 4}, i.e. Kendall’s τ = θ/(θ + 2) ∈ {1/3, 2/3}; as a second family of copulas, we

consider the bivariate family of Gumbel copulas

C

Gu

θ

(u

1

, u

2

) = exp

_

−

_

{−ln (u

1

)}

θ

+{−ln (u

2

)}

θ

_1

θ

_

, θ ≥ 1, (14)

for θ ∈ {1.5, 3}, i.e. Kendall’s τ = 1 −1/θ ∈ {1/3, 2/3}. In order to assess the performance

of the two methods when applied to serially dependent data, two examples of strongly

mixing time-series are considered (cf. Example 1). Firstly, the class of AR(1) processes:

we assume that a sample of n independent random variates

U

j

= (U

j,1

, U

j,2

), j = 1, . . . , n, (15)

9

is drawn from one of the aforementioned copulas. Deﬁne

ε

j

= (Φ

−1

(U

j,1

), Φ

−1

(U

j,2

)), for all j = 1, . . . , n. (16)

We obtain a sample X

1

, . . . , X

n

of an AR(1) process having Normal residuals by the ini-

tialization X

1

= ε

1

and recursive calculation of

X

j

= βX

j−1

+ ε

j

for all j = 2, . . . , n. (17)

The initially chosen coeﬃcient of the lagged variable is β = 0.5.

For comparison, we as well investigate observations from bivariate copula-GARCH(1, 1)

processes having a speciﬁed static copula [see 33]. Based on the MC simulation of ε

j

for

all j = 1, . . . , n as given in Equation (16), heteroscedastic standard deviations σ

j,i

, i = 1, 2,

are obtained by initializing

σ

0,i

=

_

ω

i

1 −α

i

−β

i

for i = 1, 2

using the unconditional GARCH(1, 1) standard deviation and iterative calculation of the

general process given in Equation (1) with the following parameterizations:

X

j,1

= σ

j,1

ǫ

j,1

, σ

2

j,1

= 0.012 + 0.919σ

2

j−1

+ 0.072ǫ

2

j−1

, (18)

X

j,2

= σ

j,2

ǫ

j,2

, σ

2

j,2

= 0.037 + 0.868σ

2

j−1

+ 0.115ǫ

2

j−1

, (19)

for all j = 1, . . . , n. The considered coeﬃcients are estimated by Jondeau et al. [28] to

model volatility of S&P 500 and DAX daily (log-)returns in an empirical application which

shows the practical relevance of this speciﬁc parameter choice.

In the case of independent observations, the theoretical covariance Cov(G

C

(u), G

C

(v)),

calculated at u = v ∈ {(1/3, 1/3), (2/3, 1/3), (1/3, 2/3), (2/3, 2/3)}, serves as a benchmark.

However, the theoretical covariance is unknown after the transformations carried out to gen-

erate dependent observations: though any chosen copula is invariant under componentwise

application of the (strictly monotonic) inverse standard Normal distribution, the transfor-

mations required to obtain samples from AR(1) or GARCH(1, 1) processes may not leave

the copula invariant. The following Lemma provides an alternative benchmark based on

consistent estimation of the unknown theoretical covariance structure:

Lemma 1. Consider a sample X

1

, . . . , X

N

. Assume that N → ∞ and choose n such that

n(N) → ∞, as well as n(N) = o(N). Under the assumptions of Theorem 1, a consistent

estimator for Cov(G

C

(u), G

C

(v)) is provided by

¯

Cov

_

´

G

C

(u),

´

G

C

(v)

_

:=

¯

Cov

_

√

n

_

´

C

n

(u) −

´

C

N

(u)

_

,

√

n

_

´

C

n

(v) −

´

C

N

(v)

__

for all u, v ∈ [0, 1]

d

.

The proof is given in 5. We apply Lemma 1 in 10

6

MC replications with n = 1, 000 and

N = 10

6

to provide an approximation of the true covariance.

In practice, it is not possible to iterate MC simulations; the limiting tight centered Gaussian

process G

C

is instead estimated conditional on a sample X

1

, . . . , X

n

. Therefore, we apply

10

Table 1: Mean and MSE (×10

4

) Monte Carlo results. I.i.d. and AR(1) settings, sample

size n = 100 and 1, 000 Monte Carlo replications. For each replication, we perform S = 2, 000

tapered block multiplier (M

i

) repetitions with Normal multiplier random variables, kernel function

κ

i

, i = 1, 2, block length l

M

= 3, and block bootstrap (B) repetitions with block length l

B

= 5.

(u

1

, u

2

) (1/3, 1/3) (1/3, 2/3) (2/3, 1/3) (2/3, 2/3)

Mean MSE Mean MSE Mean MSE Mean MSE

i.i.d. setting

Clayton True 0.0486 0.0338 0.0338 0.0508

(θ = 1) Approx. 0.0487 0.0338 0.0338 0.0508

M

2

0.0496 1.6323 0.0344 1.2449 0.0345 1.3456 0.0528 1.6220

M

1

0.0494 1.7949 0.0342 1.2934 0.0343 1.4128 0.0524 1.7910

B 0.0599 2.8286 0.0432 2.4103 0.0429 2.1375 0.0643 3.1538

Clayton True 0.0254 0.0042 0.0042 0.0389

(θ = 4) Approx. 0.0255 0.0042 0.0042 0.0390

M

2

0.0259 0.9785 0.0051 0.3715 0.0048 0.3662 0.0407 1.6324

M

1

0.0257 1.0104 0.0050 0.3656 0.0048 0.3673 0.0404 1.7048

B 0.0383 2.5207 0.0100 0.7222 0.0097 0.6662 0.0533 3.7255

Gumbel True 0.0493 0.0336 0.0336 0.0484

(θ = 1.5) Approx. 0.0493 0.0335 0.0335 0.0485

M

2

0.0514 1.3914 0.0346 1.2657 0.0340 1.2583 0.0497 1.4946

M

1

0.0510 1.5530 0.0344 1.3390 0.0338 1.3275 0.0495 1.6948

B 0.0616 2.8334 0.0429 2.1366 0.0432 2.2273 0.0620 3.2134

Gumbel True 0.0336 0.0058 0.0058 0.0293

(θ = 3) Approx. 0.0335 0.0058 0.0058 0.0294

M

2

0.0355 1.1359 0.0064 0.4427 0.0063 0.3851 0.0307 0.9819

M

1

0.0353 1.1991 0.0063 0.4409 0.0062 0.3832 0.0306 1.0261

B 0.0470 2.7885 0.0120 0.8396 0.0122 0.8959 0.0437 2.9355

AR(1) setting with β = 0.5

Clayton Approx. 0.0599 0.0408 0.0409 0.0629

(θ = 1) M

2

0.0602 3.1797 0.0394 2.4919 0.0398 2.5903 0.0625 2.6297

M

1

0.0598 3.5305 0.0391 2.6090 0.0396 2.7410 0.0620 2.9826

B 0.0699 3.4783 0.0496 2.9893 0.0492 2.8473 0.0761 4.0660

Clayton Approx. 0.0329 0.0064 0.0064 0.0432

(θ = 4) M

2

0.0347 2.0017 0.0071 0.6040 0.0072 0.6666 0.0460 2.8656

M

1

0.0344 2.0672 0.0071 0.5869 0.0072 0.6583 0.0458 3.0571

B 0.0472 3.5289 0.0132 1.0990 0.0128 0.9658 0.0585 4.2965

Gumbel Approx. 0.0617 0.0408 0.0409 0.0605

(θ = 1.5) M

2

0.0631 3.0587 0.0406 2.7512 0.0398 2.4187 0.0600 3.0433

M

1

0.0626 3.4252 0.0402 2.8739 0.0395 2.4920 0.0594 3.3824

B 0.0735 3.7410 0.0501 3.2025 0.0502 3.1150 0.0735 4.0521

Gumbel Approx. 0.0385 0.0061 0.0061 0.0345

(θ = 3) M

2

0.0425 2.5441 0.0069 0.5841 0.0070 0.5796 0.0375 2.1518

M

1

0.0422 2.7239 0.0069 0.5706 0.0070 0.5836 0.0373 2.2381

B 0.0535 3.8803 0.0127 1.0720 0.0125 1.0526 0.0507 4.1894

11

Table 2: Mean and MSE (×10

4

) Monte Carlo results. I.i.d. and AR(1) settings, sample

size n = 200 and 1, 000 Monte Carlo replications. For each replication, we perform S = 2, 000

tapered block multiplier (M

i

) repetitions with Normal multiplier random variables, kernel function

κ

i

, i = 1, 2, block length l

M

= 4, and block bootstrap (B) repetitions with block length l

B

= 7.

(u

1

, u

2

) (1/3, 1/3) (1/3, 2/3) (2/3, 1/3) (2/3, 2/3)

Mean MSE Mean MSE Mean MSE Mean MSE

i.i.d. setting

Clayton True 0.0486 0.0338 0.0338 0.0508

(θ = 1) Approx. 0.0487 0.0338 0.0338 0.0508

M

2

0.0494 1.2579 0.0346 0.8432 0.0343 0.8423 0.0522 1.0987

M

1

0.0490 1.3749 0.0345 0.8880 0.0341 0.8719 0.0519 1.2074

B 0.0562 1.7155 0.0402 1.2154 0.0395 1.2279 0.0593 1.8137

Clayton True 0.0254 0.0042 0.0042 0.0389

(θ = 4) Approx. 0.0255 0.0042 0.0042 0.0390

M

2

0.0261 0.5811 0.0044 0.1889 0.0048 0.2027 0.0390 0.9932

M

1

0.0260 0.6024 0.0044 0.1876 0.0048 0.2008 0.0388 1.0702

B 0.0347 1.6381 0.0076 0.3197 0.0073 0.2908 0.0489 2.1425

Gumbel True 0.0493 0.0336 0.0336 0.0484

(θ = 1.5) Approx. 0.0493 0.0335 0.0335 0.0485

M

2

0.0512 1.1513 0.0347 0.8157 0.0347 0.8113 0.0504 1.1697

M

1

0.0511 1.2909 0.0345 0.8653 0.0346 0.8692 0.0503 1.2811

B 0.0577 1.7178 0.0402 1.2233 0.0403 1.1701 0.0574 1.8245

Gumbel True 0.0336 0.0058 0.0058 0.0293

(θ = 3) Approx. 0.0335 0.0058 0.0058 0.0294

M

2

0.0361 0.8340 0.0067 0.2577 0.0063 0.2505 0.0320 0.8678

M

1

0.0359 0.9107 0.0067 0.2576 0.0062 0.2444 0.0318 0.9078

B 0.0435 1.7448 0.0095 0.3917 0.0094 0.3804 0.0388 1.5320

AR(1) setting with β = 0.5

Clayton Approx. 0.0599 0.0408 0.0409 0.0629

(θ = 1) M

2

0.0615 2.3213 0.0413 1.8999 0.0414 1.9235 0.0646 2.2534

M

1

0.0608 2.5553 0.0408 1.9594 0.0410 2.0094 0.0638 2.4889

B 0.0676 2.6206 0.0468 1.9802 0.0472 2.0278 0.0715 2.5494

Clayton Approx. 0.0329 0.0064 0.0064 0.0432

(θ = 4) M

2

0.0344 1.2685 0.0074 0.3890 0.0073 0.4108 0.0460 1.7936

M

1

0.0341 1.3034 0.0073 0.3824 0.0072 0.4053 0.0455 1.8566

B 0.0432 2.1693 0.0105 0.5427 0.0101 0.4901 0.0546 2.8808

Gumbel Approx. 0.0617 0.0408 0.0409 0.0605

(θ = 1.5) M

2

0.0649 2.2833 0.0432 2.1528 0.0433 1.9800 0.0646 3.0536

M

1

0.0639 2.4663 0.0426 2.1943 0.0428 2.0367 0.0638 3.2590

B 0.0703 2.5133 0.0468 1.8163 0.0467 1.7087 0.0693 2.5655

Gumbel Approx. 0.0385 0.0061 0.0061 0.0345

(θ = 3) M

2

0.0430 1.9156 0.0079 0.4884 0.0074 0.3950 0.0405 2.5846

M

1

0.0426 1.9784 0.0078 0.4806 0.0073 0.3858 0.0400 2.6083

B 0.0492 2.2152 0.0102 0.5375 0.0099 0.4832 0.0455 2.1534

12

Table 3: Mean and MSE (×10

4

) Monte Carlo results. AR(1) and GARCH(1, 1) settings,

sample size n = 200 and 1, 000 Monte Carlo replications. For each replication, we performS = 2, 000

tapered block multiplier (M

i

) repetitions with Normal multiplier random variables, kernel function

κ

i

, i = 1, 2, block length l

M

= 4, and block bootstrap (B) repetitions with block length l

B

= 7.

(u

1

, u

2

) (1/3, 1/3) (1/3, 2/3) (2/3, 1/3) (2/3, 2/3)

Mean MSE Mean MSE Mean MSE Mean MSE

AR(1) setting with β = 0.25

Clayton Approx. 0.0506 0.0350 0.0350 0.0530

(θ = 1) M

2

0.0521 1.5319 0.0360 1.0527 0.0361 1.1258 0.0545 1.4689

M

1

0.0517 1.6574 0.0357 1.1003 0.0358 1.1662 0.0541 1.6083

B 0.0591 2.0394 0.0415 1.4084 0.0417 1.5256 0.0624 2.1027

Clayton Approx. 0.0272 0.0048 0.0048 0.0395

(θ = 4) M

2

0.0285 0.8366 0.0052 0.2290 0.0052 0.2208 0.0413 1.3315

M

1

0.0283 0.8792 0.0051 0.2273 0.0052 0.2200 0.0410 1.3858

B 0.0375 1.9937 0.0084 0.3726 0.0085 0.3646 0.0495 2.1996

Gumbel Approx. 0.0518 0.0349 0.0348 0.0507

(θ = 1.5) M

2

0.0549 1.4150 0.0373 1.1973 0.0377 1.2459 0.0550 2.0067

M

1

0.0545 1.5154 0.0370 1.2339 0.0373 1.2871 0.0545 2.0766

B 0.0608 2.0500 0.0415 1.3234 0.0418 1.4093 0.0608 2.3118

Gumbel Approx. 0.0346 0.0058 0.0058 0.0304

(θ = 3) M

2

0.0386 1.1686 0.0070 0.3079 0.0068 0.2979 0.0350 1.5135

M

1

0.0384 1.2224 0.0070 0.3052 0.0067 0.2892 0.0347 1.5157

B 0.0447 1.8434 0.0095 0.3873 0.0097 0.4303 0.0409 1.8797

GARCH(1, 1) setting

Clayton Approx. 0.0479 0.0340 0.0340 0.0516

(θ = 1) M

2

0.0491 1.1144 0.0347 0.8485 0.0343 0.8279 0.0520 1.0958

M

1

0.0486 1.3579 0.0339 0.9021 0.0338 0.8100 0.0515 1.2013

B 0.0567 2.0156 0.0403 1.1765 0.0403 1.2556 0.0600 1.8542

Clayton Approx. 0.0252 0.0055 0.0056 0.0403

(θ = 4) M

2

0.0259 0.5054 0.0051 0.1979 0.0053 0.2301 0.0399 1.0431

M

1

0.0258 0.6429 0.0052 0.2199 0.0051 0.2217 0.0390 1.0959

B 0.0345 1.5252 0.0081 0.2764 0.0081 0.2921 0.0484 1.8359

Gumbel Approx. 0.0500 0.0339 0.0339 0.0482

(θ = 1.5) M

2

0.0516 1.0480 0.0356 0.8486 0.0354 0.8175 0.0511 1.2451

M

1

0.0516 1.2235 0.0351 0.9582 0.0352 0.8848 0.0503 1.2774

B 0.0575 1.5928 0.0402 1.2395 0.0403 1.2346 0.0574 1.9198

Gumbel Approx. 0.0341 0.0074 0.0074 0.0291

(θ = 3) M

2

0.0362 0.9284 0.0073 0.2941 0.0072 0.2587 0.0321 0.9133

M

1

0.0366 0.9782 0.0073 0.2786 0.0071 0.2888 0.0320 0.9819

B 0.0435 1.6811 0.0103 0.3607 0.0101 0.3390 0.0390 1.6878

13

the tapered block multiplier technique and the block bootstrap method. For detailed discus-

sions on the block length of the block bootstrap, we refer to Künsch [31] as well as Bühlmann

and Künsch [7]. In the present setting we choose l

B

(100) = 5 and l

B

(200) = 7; this choice

corresponds to l

B

(n) = ⌊1.25n

1/3

⌋ which satisﬁes the assumptions of the asymptotic theory.

The tapered block multiplier technique is assessed based on a sequence (w

j

)

j∈Z

of Normal

random variables as introduced in Examples 2 and 3. Moreover, serial dependence in the

tapered block multiplier random variables is either generated on the basis of the uniform

weighting scheme represented by the kernel function κ

1

or the triangular weighting scheme

represented by the kernel function κ

2

. The block length is set to l

M

(n) = ⌊1.1n

1/4

⌋, hence

l

M

(100) = 3 and l

M

(200) = 4, meaning that both methods yield 2l

M

-dependent blocks.

Both methods are used to estimate the sample covariance of block bootstrap- or tapered

block multiplier-based

´

G

.(s)

C

(u) and

´

G

.(s)

C

(v) based on s = 1, . . . , S = 2, 000 resampling

repetitions for the given set of vectors u and v. We perform 1, 000 MC replications and

report mean and mean squared error (MSE) of each method.

Tables 1, 2, and Table 3 show results for samples X

1

, . . . , X

n

of size n = 100 and n = 200

based on AR(1) and GARCH(1, 1) processes. Since the approximation

¯

Cov(

´

G

C

(u),

´

G

C

(v))

works well, it can, hence, be used as a benchmark in the case of serially dependent observa-

tions. MC results based on independent and identically distributed samples indicate that

the tapered block multiplier outperforms the block bootstrap in mean and MSE of estima-

tion. The general applicability of these resampling methods however comes at the price of

an increased mean squared error [in comparison to the multiplier or bootstrap with block

length l = 1 as investigated in 5]. Hence, we suggest to test serial independence of con-

tinuous multivariate time-series as introduced by Kojadinovic and Yan [29] to investigate

which method is appropriate. In the case of serially dependent observations, resampling

results indicate that the tapered block multiplier yields more precise results in mean and

mean squared error than the block bootstrap (which tends to overestimate) for the con-

sidered choices of the temporal dependence structure, the kernel function, the copula, and

the parameter. Regarding the choice of the kernel function, mean results for κ

1

and κ

2

are similar, whereas κ

2

yields slightly better results in mean squared error. Additional MC

simulations are given in Ruppert [42]: if the multiplier or bootstrap methods for indepen-

dent observations are incorrectly applied to dependent observations, i.e., l

B

= l

M

= 1, then

their results do not reﬂect the changed structure adequately. Results based on Normal,

Gamma, and Rademacher-type sequences (w

j

)

j∈Z

indicate that diﬀerent distributions used

to simulate the multiplier random variables lead to similar results. To ease comparison

of the next section to the work of Rémillard and Scaillet [38], we use Normal multiplier

random variables in the following.

3. Testing for a constant copula

Considering strongly mixing multivariate processes (X

j

)

j∈Z

, nonparametric tests for a con-

stant copula with a speciﬁed or unspeciﬁed change point candidate(s) consistent against

general alternatives are introduced and assessed in ﬁnite samples.

3.1. Speciﬁed change point candidate

The speciﬁcation of a change point candidate can for instance have an economic motivation:

Patton [33] investigates a change in parameters of the dependence structure between various

exchange rates following the introduction of the euro on the 1st of January 1999. Focusing

14

on stock returns, multivariate association between major S&P global sector indices before

and after the bankruptcy of Lehman Brothers Inc. on 15th of September 2008 is assessed

in Gaißer et al. [21] and Ruppert [42]. Whereas these references investigate change points

in functionals of the copula, the copula itself is in the focus of this study. This approach

permits to analyze changes in the structure of association even if a functional thereof, such

as a measure of multivariate association, is invariant.

Suppose we observe a sample X

1

, . . . , X

n

of a process (X

j

)

j∈Z

. Constancy of the structure

of association is initially investigated in the case of a speciﬁed change point candidate

indexed by ⌊λn⌋ for λ ∈ [0, 1] :

H

0

: U

j

∼ C

1

for all j = 1, . . . , n,

H

1

: U

j

∼

_

C

1

for all j = 1, . . . , ⌊λn⌋,

C

2

for all j = ⌊λn⌋ + 1, . . . , n,

whereas C

1

and C

2

are assumed to diﬀer on a non-empty subset of [0, 1]

d

. To test for

a change point in the structure of association after observation ⌊λn⌋ < n, we split the

sample into two subsamples: X

1

, . . . , X

⌊λn⌋

and X

⌊λn⌋+1

, . . . , X

n

. Assuming the marginal

distribution functions to be unknown and constant in each subsample, we (separately)

estimate

´

U

1

, . . . ,

´

U

⌊λn⌋

and

´

U

⌊λn⌋+1

, . . . ,

´

U

n

with empirical copulas

´

C

⌊λn⌋

and

¯

C

n−⌊λn⌋

,

respectively. The test statistic is deﬁned by

T

n

(λ) =

_

[0,1]

d

__

⌊λn⌋(n −⌊λn⌋)

n

_

´

C

⌊λn⌋

(u) −

¯

C

n−⌊λn⌋

(u)

_

_

2

du (20)

and can be calculated explicitly, for details we refer to Rémillard and Scaillet [38]. These

authors introduce a test for equality between to copulas which is applicable in the case of

no serial dependence. Weak convergence of T

n

(λ) under strong mixing is established in the

following:

Theorem 4. Consider observations X

1

, . . . , X

n

, drawn from a process (X

j

)

j∈Z

satisfying

the strong mixing condition α

X

(r) = O(r

−a

) for some a > 1. Further assume a speciﬁed

change point candidate indexed by ⌊λn⌋ for λ ∈ [0, 1] such that U

j

∼ C

1

, X

j,i

∼ F

1,i

for

all j = 1, . . . , ⌊λn⌋, i = 1, . . . , d and U

j

∼ C

2

, X

j,i

∼ F

2,i

for all j = ⌊λn⌋ + 1, . . . , n,

i = 1, . . . , d. Suppose that C

1

and C

2

satisfy Condition (3). Under the null hypothesis

C

1

= C

2

, the test statistic T

n

(λ) converges weakly:

T

n

(λ)

w.

−→ T(λ) =

_

[0,1]

d

_

√

1 −λG

C

1

(u) −

√

λG

C

2

(u)

_

2

du,

whereas G

C

1

and G

C

2

represent dependent identically distributed Gaussian processes.

The proof is given in 5. Notice that if there exists a subset I ∈ [0, 1]

d

such that

_

I

_

√

1 −λC

1

(u) −

√

λC

2

(u)

_

2

du > 0,

then T

n

(λ) → ∞ in probability under H

1

. The limiting law of the test statistic depends

on the unknown copulas C

1

before and C

2

after the change point candidate. To estimate

p-values of the test statistic, we use the tapered block multiplier technique described above.

15

Corollary 1. Consider observations X

1

, . . . , X

⌊λn⌋

and X

⌊λn⌋+1

, . . . , X

n

drawn from a pro-

cess (X

j

)

j∈Z

. Assume that the process satisﬁes the strong mixing assumptions of Theorem

3. Let ⌊λn⌋ for λ ∈ [0, 1] denote a speciﬁed change point candidate such that U

j

∼ C

1

,

X

j,i

∼ F

1,i

for all j = 1, . . . , ⌊λn⌋, i = 1, . . . , d and U

j

∼ C

2

, X

j,i

∼ F

2,i

for all

j = ⌊λn⌋ + 1, . . . , n, i = 1, . . . , d. Suppose that C

1

and C

2

satisfy Condition (3).

For s = 1, . . . , S, let ξ

(s)

1

, . . . , ξ

(s)

n

denote samples of a tapered block multiplier process (ξ

j

)

j∈Z

satisfying A1, A2, A3(b) with block length l(n) → ∞, where l(n) = O(n

1/2−ǫ

) for 0 < ǫ <

1/2, . Deﬁne

´

T

M(s)

n

(λ) based on Equation (12):

´

T

M(s)

n

(λ) :=

_

[0,1]

d

__

n −⌊λn⌋

n

´

G

M(s)

C

1

,⌊λn⌋

(u) −

_

⌊λn⌋

n

¯

G

M(s)

C

2

,n−⌊λn⌋

(u)

_

2

du, (21)

whereas ξ

(s)

j

, j = 1, . . . , ⌊λn⌋ and ⌊λn⌋+1, . . . , n enter the ﬁrst and the second summand of

the Cramér-von Mises functional, respectively. Weak convergence conditional on X

1

, . . . , X

n

almost surely holds under the null hypothesis as well as under the alternative:

´

T

M(s)

n

(λ)

a.s.

−→

ξ

T

M

(λ),

whereas T

M

(λ) is an independent copy of T(λ).

The proof is given in 5. Notice that the result of Corollary 1 is valid both for tapered block

multiplier processes satisfying A3 and A3b. The integral involved in

´

T

M(s)

n

(λ) can be

calculated explicitly [see 37, Appendix B]. Notice that dependence between the subsamples

is captured since the two sets of tapered block multiplier random variables are dependent

by construction. An approximate p-value for T

n

(λ) is provided by

1

S

S

s=1

1

_

´

T

M(s)

n

(λ)>Tn(λ)

_

. (22)

Hence, p-values can be estimated by counting the number of cases in which the simulated

test statistic based on the tapered block multiplier method exceeds the observed one.

Finite sample properties. Size and power of the test in ﬁnite samples are assessed in a

simulation study. We apply the MC algorithm introduced in Section 2.3 to generate samples

of size n = 100 or n = 200 from bivariate processes (X

j

)

j∈Z

. As a base scenario, serially

independent observations are simulated. Moreover, we consider observations from strictly

stationary AR(1) processes with autoregressive coeﬃcient β ∈ {0.25, 0.5} and GARCH(1, 1)

processes which are parameterized as in Equations (18) and (19). The univariate processes

are either linked by a Clayton or a Gumbel copula. The change point after observation

⌊λn⌋ = n/2 (if present) only aﬀects the parameter within each family: the copula C

1

is parameterized such that τ

1

= 0.2, the copula C

2

such that τ

2

= 0.2, . . . , 0.9. A set

of S = 2, 000 Normal tapered block multiplier random variables is simulated, whereas

l

M

(100) = 3 and l

M

(200) = 4 are chosen for the block length.

Results of 1, 000 MC replications based on n = 100 and n = 200 observations are shown

in Tables 4 and 5, respectively. The test based on the tapered block multiplier technique

with kernel function κ

2

leads to a rejection quota under the null hypothesis which is close

16

Table 4: Size and power of the test for a constant copula with a speciﬁed change point

candidate. Results are based on 1, 000 Monte Carlo replications, n = 100, S = 2, 000 tapered

block multiplier repetitions, kernel function κ

2

, and asymptotic signiﬁcance level α = 5%.

τ

2

0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9

i.i.d. setting

Clayton l = 1 0.036 0.110 0.295 0.612 0.881 0.983 1.000 1.000

l = 3 0.050 0.114 0.315 0.578 0.877 0.976 1.000 1.000

Gumbel l = 1 0.040 0.093 0.236 0.569 0.840 0.976 0.998 1.000

l = 3 0.063 0.110 0.276 0.594 0.866 0.983 1.000 1.000

GARCH(1, 1) setting

Clayton l = 1 0.037 0.106 0.298 0.598 0.868 0.977 1.000 1.000

l = 3 0.047 0.120 0.303 0.588 0.876 0.978 0.999 1.000

Gumbel l = 1 0.043 0.089 0.246 0.573 0.827 0.978 0.999 1.000

l = 3 0.065 0.124 0.285 0.569 0.847 0.980 1.000 1.000

AR(1) setting with β = 0.25

Clayton l = 1 0.051 0.115 0.308 0.592 0.849 0.969 0.999 1.000

l = 3 0.047 0.111 0.292 0.547 0.836 0.968 0.998 1.000

Gumbel l = 1 0.053 0.109 0.257 0.550 0.836 0.975 0.998 1.000

l = 3 0.066 0.105 0.254 0.568 0.818 0.964 1.000 1.000

AR(1) setting with β = 0.5

Clayton l = 1 0.086 0.154 0.313 0.549 0.798 0.928 0.985 1.000

l = 3 0.078 0.117 0.236 0.462 0.730 0.868 0.986 0.999

Gumbel l = 1 0.100 0.172 0.285 0.541 0.816 0.956 0.998 1.000

l = 3 0.077 0.109 0.218 0.482 0.722 0.907 0.994 0.999

to the chosen theoretical asymptotic size of 5% in all considered settings; comparing the

results for n = 100 and n = 200, we observe that the approximation of the asymptotic

size based on the tapered block multiplier improves in precision with increased sample

size. The tapered block multiplier-based test also performs well under the alternative

hypothesis and its power increases with the diﬀerence τ

2

−τ

1

between the considered values

for Kendall’s τ. The power of the test under the alternative hypothesis is best in the case of

no serial dependence as is shown in Table 5. If serial dependence is present in the sample

then more observations are required to reach the power of the test in the case of serially

independent observations. For comparison, we also show the results if the test assuming

independent observations (i.e., the test based on the multiplier technique with block length

l = 1) is erroneously applied to the simulated dependent observations. The eﬀects of

diﬀerent types of dependent observations diﬀer largely in the ﬁnite sample simulations

considered: GARCH(1, 1) processes do not show strong impact, whereas AR(1) processes

lead to considerable distortions, in particular regarding the size of the test. Results indicate

that the test overrejects if temporal dependence is not taken into account; the observed

size of the test in these cases can be more than twice the speciﬁed asymptotic size. For

comparison, results for n = 200 and kernel function κ

1

are shown in Ruppert [42]. The

obtained results indicate that the uniform kernel function κ

1

leads to a more conservative

testing procedure since the rejection quota is slightly higher, both under the null hypothesis

as well as under the alternative. Due to the fact that the size of the test is approximated

more accurately based on the kernel function κ

2

, its use is recommended.

17

Table 5: Size and power of the test for a constant copula with a speciﬁed change point

candidate. Results are based on 1, 000 Monte Carlo replications, n = 200, S = 2, 000 tapered

block multiplier repetitions, kernel function κ

2

, and asymptotic signiﬁcance level α = 5%.

τ

2

0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9

i.i.d. setting

Clayton l = 1 0.047 0.172 0.524 0.908 0.993 1.000 1.000 1.000

l = 4 0.063 0.164 0.552 0.905 0.989 1.000 1.000 1.000

Gumbel l = 1 0.043 0.162 0.525 0.877 0.991 1.000 1.000 1.000

l = 4 0.055 0.169 0.535 0.895 0.996 1.000 1.000 1.000

GARCH(1, 1) setting

Clayton l = 1 0.040 0.169 0.503 0.894 0.994 1.000 1.000 1.000

l = 4 0.056 0.160 0.541 0.903 0.992 1.000 1.000 1.000

Gumbel l = 1 0.046 0.154 0.498 0.873 0.992 1.000 1.000 1.000

l = 4 0.057 0.174 0.496 0.899 0.994 1.000 1.000 1.000

AR(1) setting with β = 0.25

Clayton l = 1 0.052 0.180 0.521 0.866 0.989 1.000 1.000 1.000

l = 4 0.057 0.149 0.497 0.867 0.988 1.000 1.000 1.000

Gumbel l = 1 0.047 0.180 0.515 0.872 0.989 1.000 1.000 1.000

l = 4 0.050 0.136 0.490 0.855 0.992 1.000 1.000 1.000

AR(1) setting with β = 0.5

Clayton l = 1 0.107 0.237 0.523 0.813 0.975 0.999 1.000 1.000

l = 4 0.058 0.137 0.396 0.748 0.957 0.998 1.000 1.000

Gumbel l = 1 0.122 0.227 0.499 0.825 0.979 1.000 1.000 1.000

l = 4 0.059 0.123 0.401 0.770 0.958 0.998 1.000 1.000

3.2. The general case: unspeciﬁed change point candidate

The assumption of a change point candidate at speciﬁed location is relaxed in the following.

Intuitively, testing with unspeciﬁed change point candidate(s) is less restrictive but a trade-

oﬀ is to be made: the tests introduced in this section neither require conditions on the partial

derivatives of the underlying copula(s) nor the speciﬁcation of change point candidate(s), yet

they are based on the assumption of strictly stationary univariate processes, i.e., X

j,i

∼ F

i

for all j ∈ Z and i = 1, . . . , d. The motivation for this test setting is that only for a subset

of the change points documented in empirical studies, a priori hypothesis such as triggering

economic events can be found [see, e.g., 15]. Even if a triggering event exists, its start

(and end) often are subject to uncertainty: Rodriguez [41] studies changes in dependence

structures of stock returns during periods of turmoil considering data framing the East Asian

crisis in 1997 as well as the Mexican devaluation in 1994, whereas no change point candidate

is given a priori. These objects of investigation are well-suited for nonparametric methods

which oﬀer the important advantage that their results do not depend on model assumptions.

For a general introduction to change point problems of this type, we refer to the monographs

by Csörgő and Hórvath [12] and, with particular emphasis on nonparametric methods, to

Brodsky and Darkhovsky [3].

Let X

1

, . . . , X

n

denote a sample of a process (X

j

)

j∈Z

with strictly stationary univariate

18

margins, i.e., X

j,i

∼ F

i

for all j ∈ Z and i = 1, . . . , d. We establish tests for the null

hypothesis of a constant copula versus the alternative that there exist P unspeciﬁed change

points λ

1

< . . . < λ

P

∈ [0, 1], formally

H

0

: U

j

∼ C

1

for all j = 1, . . . , n,

H

1

: there exist 0 = λ

0

< λ

1

< . . . < λ

P

< λ

P+1

= 1 such that U

j

∼ C

p

for all j = ⌊λ

p−1

n⌋ + 1, . . . , ⌊λ

p

n⌋ and p = 1, . . . , P + 1,

whereas, under the alternative hypothesis, C

1

, . . . , C

P+1

are assumed to diﬀer on a non-

empty subset of [0, 1]

d

. In this setting, we estimate the pseudo-observations

´

U

1

, . . . ,

´

U

n

based on X

1

, . . . , X

n

. For any change point candidate ζ ∈ [0, 1], we split the pseudo-

observations in two subsamples

´

U

1

, . . . ,

´

U

⌊ζn⌋

and

´

U

⌊ζn⌋+1

, . . . ,

´

U

n

. The following test

statistics are based on a comparison of the resulting empirical copulas:

S

n

(ζ, u) :=

⌊ζn⌋(n −⌊ζn⌋)

n

3/2

_

´

C

⌊ζn⌋

(u) −

¯

C

n−⌊ζn⌋

(u)

_

for all u ∈ [0, 1]

d

.

The functional used to deﬁne the test statistic given in Equation (20) of the previous section

is thus multiplied by the weight function

_

⌊ζn⌋(n −⌊ζn⌋)/n which assigns less weight to

change point candidates close to the sample’s boundaries. Deﬁne Z

n

:= {1/n, . . . , (n −

1)/n}. We consider three alternative test statistics which pick the most extreme realization

within the set Z

n

of change point candidates:

T

1

n

= max

ζ∈Zn

_

[0,1]

d

S

n

(ζ, u)

2

d

´

C

n

(u), (23)

T

2

n

= max

ζ∈Zn

_

max

u∈{

´

U

j

}

j=1,...,n

S

n

(ζ, u) − min

u∈{

´

U

j

}

j=1,...,n

S

n

(ζ, u)

_

, (24)

T

3

n

= max

ζ∈Zn

_

max

u∈{

´

U

j

}

j=1,...,n

|S

n

(ζ, u)|

_

, (25)

which are the maximally selected Cramér-von Mises (CvM), Kuiper (K), and Kolmogorov-

Smirnov (KS) statistic, respectively. We refer to Hórvath and Shao [26] for an investigation

of these statistics in a univariate context based on an independent and identically distributed

sample; T

3

n

is investigated in Inoue [27] for general multivariate distribution functions under

strong mixing conditions as well as in Rémillard [36] with an application to the copula of

GARCH residuals.

Under the null hypothesis of a constant copula, i.e., C(u) = C

p

(u) for all p = 1, . . . , P +1,

notice the following relation between S

n

(ζ, u) and a linear combination of the sequential

and the standard empirical process, more precisely a (d + 1)-time parameter tied down

empirical copula process [see Section 2.6 in 12, 26, 36]:

S

n

(ζ, u) =

⌊ζn⌋(n −⌊ζn⌋)

n

3/2

{

´

C

⌊ζn⌋

(u) −

¯

C

n−⌊ζn⌋

(u)}

=

1

√

n

_

_

⌊ζn⌋

j=1

_

1

{

´

U

j

≤u}

−C(u)

_

−

⌊ζn⌋

n

n

j=1

_

1

{

´

U

j

≤u}

−C(u)

_

_

_

, (26)

for all ζ ∈ [0, 1] and u ∈ [0, 1]

d

. Equation (26) is the pivotal element to derive the asymptotic

behavior of S

n

(ζ, u) under the null hypothesis which is given next.

19

Theorem 5. Consider a sample X

1

, . . . , X

n

of a strictly stationary process (X

j

)

j∈Z

satis-

fying the strong mixing condition α

X

(r) = O(r

−4−d{1+ǫ}

) for some 0 < ǫ ≤ 1/4, whereas

U

j

∼ C, X

j,i

∼ F

i

for all j ∈ Z and i = 1, . . . , d. Weak convergence of S

n

(ζ, u) holds in

_

ℓ

∞

([0, 1]

d+1

), .

∞

_

:

S

n

(ζ, u)

w.

−→B

C

(ζ, u) −ζB

C

(1, u),

where B

C

(ζ, u) denotes a (centered) C-Kiefer process, viz. B

C

(0, u) = B

C

(ζ, 0) = B

C

(ζ, 1) =

0 with covariance structure

Cov(B

C

(ζ

1

, u), B

C

(ζ

2

, v)) = min(ζ

1

, ζ

2

)

j∈Z

Cov

_

1

{U

0

≤u}

, 1

{U

j

≤v}

_

for all ζ

1

, ζ

2

∈ [0, 1] and u, v ∈ [0, 1]

d

. This in particular implies weak convergence of the

test statistics T

1

n

, T

2

n

, and T

3

n

:

T

1

n

w.

−→ sup

0≤ζ≤1

_

[0,1]

d

{B

C

(ζ, u) −ζB

C

(1, u)}

2

dC(u),

T

2

n

w.

−→ sup

0≤ζ≤1

_

sup

u∈[0,1]

d

{B

C

(ζ, u) −ζB

C

(1, u)} − inf

u∈[0,1]

d

{B

C

(ζ, u) −ζB

C

(1, u)}

_

,

T

3

n

w.

−→ sup

0≤ζ≤1

_

sup

u∈[0,1]

d

|{B

C

(ζ, u) −ζB

C

(1, u)}|

_

.

The proof is given in 5. For independent and identically distributed observations X

1

, . . . , X

n

,

a detailed investigation of C-Kiefer processes is given in Zari [52].

Direct calculations yield T

i

n

→ ∞ for i = 1, 2, 3 under H

1

. Hence, the test is consistent

against general alternatives. The established limiting distributions of the test statistics

under the null hypothesis can be estimated based on an application of the tapered block

multiplier technique to Equation (26):

Corollary 2. Consider a sample X

1

, . . . , X

n

of a process (X

j

)

j∈Z

which satisﬁes X

j,i

∼ F

i

for all j ∈ Z and i = 1, . . . , d. Further assume the process to fulﬁll the strong mixing

assumptions of Theorem 3. For s = 1, . . . , S, let ξ

(s)

1

, . . . , ξ

(s)

n

denote samples of a tapered

block multiplier process (ξ

j

)

j∈Z

satisfying A1, A2, A3b with block length l(n) →∞, where

l(n) = O(n

1/2−ǫ

) for 0 < ǫ < 1/2 and deﬁne:

´

S

M(s)

n

(ζ, u) :=

1

√

n

_

_

⌊ζn⌋

j=1

ξ

(s)

j

_

1

{

´

U

j

≤u}

−

´

C

n

(u)

_

(27)

−

⌊ζn⌋

n

n

j=1

ξ

(s)

j

_

1

{

´

U

j

≤u}

−

´

C

n

(u)

_

_

_

for all u ∈ [0, 1]

d

. Under the null hypothesis of a constant copula, weak convergence condi-

tional on X

1

, . . . , X

n

almost surely in

_

ℓ

∞

([0, 1]

d+1

), .

∞

_

holds:

´

S

M(s)

n

(ζ, u)

a.s.

−→

ξ

B

M

C

(ζ, u) −ζB

M

C

(1, u),

20

whereas the limit is an independent copy of B

C

(ζ, u) −ζB

C

(1, u). Under the alternative hy-

pothesis, weak convergence conditional on X

1

, . . . , X

n

almost surely in

_

ℓ

∞

([0, 1]

d+1

), .

∞

_

to a tight limit holds.

The proof is given in 5. Remarkably, the latter result is only valid if centered multiplier

random variables are applied, i.e., if assumption A3b is satisﬁed. An application of the

continuous mapping theorem proves consistency of the tapered block multiplier-based tests.

The p-values of the test statistics are estimated as shown in Equation (22).

For simplicity, the change point location is assessed under the assumption that there is at

most one change point. In this case, the alternative hypothesis can as well be formulated:

H

1b

: ∃λ ∈ [0, 1] such that U

j

∼

_

C

1

for all j = 1, . . . , ⌊λn⌋,

C

2

for all j = ⌊λn⌋ + 1, . . . , n,

whereas C

1

and C

2

are assumed to diﬀer on a non-empty subset of [0, 1]

d

. An estimator

for the location of the change point

´

λ

i

n

, i = 1, 2, 3, is obtained replacing max functions by

arg max functions in Equations (23), (24), and (25). For ease of exposition, the superindex

i is dropped in the following if no explicit reference to the functional is required. Given a

(not necessarily correct) change-point estimator

´

λ

n

, the empirical copula of X

1

, . . . , X

⌊

´

λnn⌋

is an estimator of the unknown mixture distribution given by [for an analogous estimator

related to general distribution functions, see 9]:

C

´

λn,1

(u) = 1

{

´

λn≤λ}

C

1

(u) +1

{

´

λn>λ}

´

λ

−1

n

_

λC

1

(u) +

_

´

λ

n

−λ

_

C

2

(u)

_

, (28)

for all u ∈ [0, 1]

d

. The latter coincides with C

1

if and only if the change point is estimated

correctly. On the other hand, the empirical copula of X

⌊

´

λnn⌋+1

, . . . , X

n

is an estimator of

the unknown mixture distribution given by

C

´

λn,2

(u) =1

{

´

λn≤λ}

(1 −

´

λ

n

)

−1

_

(λ −

´

λ

n

)C

1

(u) + (1 −λ) C

2

(u)

_

(29)

+1

{

´

λn>λ}

C

2

(u),

for all u ∈ [0, 1]

d

. The latter coincides with C

2

if and only if the change point is estimated

correctly. Consistency of

´

λ

n

follows from consistency of the empirical copula and the fact

that the diﬀerence of the two mixture distributions given in Equations (28) and (29) is

maximal in the case

´

λ

n

= λ. Bai [1] iteratively applies the setting considered above to test

for multiple breaks (one at a time), indicating a direction of future research to estimate

locations of multiple change points in the dependence structure.

Finite sample properties. Size and power of the tests for a constant copula are shown in

Tables 6 and 7. The former shows results for n = 400 observations from serially independent

as well as strictly stationary AR(1) processes with autoregressive coeﬃcient β = 0.25 in

each dimension. The alternative hypothesis H

1b

of at most one unspeciﬁed change point is

considered. If present, then the change point is located after observation ⌊λn⌋ = n/2 and

only aﬀects the parameter within the investigated Clayton or Gumbel families: the

21

Table 6: Size and power of tests for a constant copula with unspeciﬁed change point can-

didate. Results are based on 1, 000 Monte Carlo replications, n = 400, S = 1, 000, kernel function

κ

2

, and α = 5%; additionally, the estimated change point location

´

λ

n

, ˆ σ(

´

λ

n

), and MSE(

´

λ

n

) ×10

2

are reported.

size/power

´

λ

n

ˆ σ

_

´

λ

n

_

MSE

_

´

λ

n

_

τ

2

0.2 0.6 0.9 0.6 0.9 0.6 0.9 0.6 0.9

i.i.d. setting

Clayton l = 1 CvM 0.061 0.406 0.873 0.511 0.506 0.093 0.061 0.871 0.372

K 0.040 0.495 0.991 0.496 0.496 0.074 0.048 0.556 0.228

KS 0.062 0.409 0.905 0.507 0.503 0.079 0.056 0.627 0.319

l = 5 CvM 0.035 0.342 0.847 0.519 0.509 0.084 0.058 0.735 0.349

K 0.031 0.375 0.983 0.495 0.496 0.070 0.049 0.489 0.246

KS 0.036 0.337 0.881 0.506 0.504 0.080 0.055 0.645 0.306

Gumbel l = 1 CvM 0.047 0.456 0.903 0.509 0.507 0.083 0.055 0.694 0.304

K 0.056 0.474 0.992 0.494 0.495 0.074 0.050 0.548 0.251

KS 0.052 0.437 0.910 0.502 0.504 0.080 0.054 0.644 0.291

l = 5 CvM 0.043 0.387 0.880 0.506 0.507 0.086 0.055 0.739 0.310

K 0.026 0.343 0.974 0.487 0.496 0.072 0.046 0.518 0.217

KS 0.041 0.349 0.884 0.497 0.503 0.079 0.056 0.642 0.312

AR(1) setting with β = 0.25

Clayton l = 1 CvM 0.187 0.487 0.846 0.519 0.510 0.116 0.075 1.390 0.566

K 0.139 0.562 0.994 0.490 0.494 0.084 0.052 0.707 0.276

KS 0.177 0.499 0.913 0.504 0.506 0.098 0.071 0.969 0.503

l = 5 CvM 0.046 0.243 0.697 0.516 0.512 0.102 0.070 1.073 0.497

K 0.039 0.289 0.954 0.496 0.493 0.073 0.056 0.535 0.315

KS 0.040 0.253 0.771 0.506 0.506 0.095 0.065 0.901 0.421

Gumbel l = 1 CvM 0.185 0.536 0.878 0.515 0.513 0.119 0.079 1.443 0.649

K 0.123 0.576 0.997 0.487 0.493 0.086 0.051 0.746 0.272

KS 0.167 0.541 0.913 0.504 0.509 0.103 0.075 1.078 0.573

l = 5 CvM 0.042 0.295 0.706 0.519 0.506 0.096 0.074 0.949 0.547

K 0.040 0.294 0.939 0.495 0.495 0.084 0.053 0.716 0.282

KS 0.050 0.287 0.745 0.509 0.504 0.089 0.067 0.793 0.457

copula C

1

is parameterized such that τ

1

= 0.2, the copula C

2

such that τ

2

∈ {0.2, 0.6, 0.9}.

We consider S = 1, 000 tapered block multiplier simulations based on Normal multiplier

random variables, block length l

M

(400) = 5, kernel function κ

2

, and report mean as well

as mean squared error of 1, 000 MC repetitions.

In the case of independent and identically distributed observations, we observe that the

tapered block multiplier works similarly well as the standard multiplier (i.e., l

M

= 1): the

asymptotic size of the test, chosen to be 5%, is well approximated and its power increases

in the diﬀerence τ

2

− τ

1

. The estimated location of the change point,

´

λ

n

, is close to its

theoretical value. Moreover, its standard deviation ˆ σ(

´

λ

n

) as well as its mean squared

error MSE(

´

λ

n

) are decreasing in the diﬀerence τ

2

− τ

1

. In the case of serially dependent

observations sampled from AR(1) processes with β = 0.25, we ﬁnd that the observed size

of the test strongly deviates from its nominal size (chosen to be 5%) if serial dependence

22

Table 7: Size and power of tests for a constant copula with unspeciﬁed change point

candidate. Results are based on 1, 000 Monte Carlo replications, n = 800, S = 500, kernel function

κ

2

, and α = 5%; additionally, the estimated change point location

´

λ

n

, ˆ σ(

´

λ

n

), and MSE(

´

λ

n

) ×10

2

are reported.

size/power

´

λ

n

ˆ σ

_

´

λ

n

_

MSE

_

´

λ

n

_

τ

2

0.2 0.6 0.9 0.6 0.9 0.6 0.9 0.6 0.9

i.i.d. setting

Clayton l = 1 CvM 0.033 0.695 0.999 0.508 0.506 0.079 0.041 0.623 0.173

K 0.054 0.901 1.000 0.494 0.497 0.059 0.029 0.350 0.087

KS 0.046 0.734 0.999 0.505 0.503 0.068 0.038 0.463 0.142

l = 6 CvM 0.043 0.681 0.997 0.510 0.505 0.076 0.042 0.585 0.177

K 0.037 0.838 1.000 0.494 0.497 0.057 0.031 0.335 0.096

KS 0.036 0.699 0.998 0.507 0.503 0.062 0.039 0.384 0.149

Gumbel l = 1 CvM 0.049 0.510 0.953 0.510 0.506 0.090 0.049 0.823 0.243

K 0.037 0.688 1.000 0.490 0.496 0.061 0.032 0.372 0.106

KS 0.051 0.509 0.966 0.502 0.503 0.081 0.044 0.672 0.199

l = 6 CvM 0.055 0.721 0.998 0.505 0.504 0.069 0.037 0.477 0.138

K 0.034 0.775 1.000 0.498 0.496 0.059 0.029 0.355 0.086

KS 0.045 0.686 0.998 0.504 0.500 0.065 0.039 0.428 0.156

AR(1) setting with β = 0.25

Clayton l = 1 CvM 0.184 0.712 0.995 0.519 0.507 0.097 0.056 0.973 0.321

K 0.122 0.914 1.000 0.495 0.497 0.063 0.034 0.411 0.122

KS 0.169 0.756 0.999 0.512 0.506 0.084 0.050 0.714 0.248

l = 6 CvM 0.065 0.488 0.939 0.506 0.508 0.089 0.054 0.803 0.293

K 0.057 0.724 1.000 0.493 0.496 0.060 0.033 0.359 0.113

KS 0.062 0.521 0.965 0.500 0.503 0.072 0.045 0.527 0.206

Gumbel l = 1 CvM 0.207 0.760 0.992 0.507 0.509 0.091 0.052 0.841 0.273

K 0.141 0.879 1.000 0.489 0.497 0.070 0.036 0.496 0.135

KS 0.182 0.780 0.998 0.500 0.505 0.089 0.047 0.805 0.218

l = 6 CvM 0.052 0.533 0.959 0.514 0.508 0.083 0.052 0.707 0.273

K 0.046 0.670 1.000 0.495 0.496 0.065 0.032 0.426 0.106

KS 0.053 0.520 0.974 0.508 0.505 0.076 0.048 0.584 0.232

is neglected and the block length l

M

= 1 is used: its estimates reaching up to 18.7%. The

test based on the tapered block multiplier with block length l

M

(400) = 5 yields rejection

quotas which approximate the asymptotic size well in all settings considered. These results

are strengthened in Table 7 which shows results of MC simulations for sample size n = 800

and block length l

M

= 6 : the tests based on the tapered block multiplier perform well in

size, their power improves considerably with the increased amount of observations and the

change point location is well captured. Standard deviation and mean squared error of the

estimated location of the change point,

´

λ

n

, decrease in the diﬀerence τ

2

−τ

1

.

Comparing the tests based on statistics T

1

n

, T

2

n

, and T

3

n

, we ﬁnd that the test based on the

Kuiper-type statistic performs best: results indicate that the nominal size is well approx-

imated in ﬁnite samples. Moreover, the test is most powerful in many settings. Likewise,

with regard to the estimated location of the change point, the Kuiper-type statistic performs

best in mean and in mean squared error.

23

The introduced tests for a constant copula oﬀer some connecting factors for further research,

e.g.: Inoue [27] investigates nonparametric change point tests for the joint distribution of

strongly mixing random vectors and ﬁnds that the observed size of the test heavily depends

on the choice of the block length l in the resampling procedure. For diﬀerent types of serially

dependent observations, e.g., AR(1) processes with higher coeﬃcient for the lagged variable

or GARCH(1, 1) processes, it is of interest to investigate the optimal choice of the block

length for the tapered block multiplier-based test with unspeciﬁed change point candidate.

Moreover, test statistics based on diﬀerent functionals oﬀer potential for improvements:

e.g., the Cramér-von Mises functional introduced by Rémillard and Scaillet [38] led to

strong results in the case of a speciﬁed change point candidate. Though challenging from

a computational point of view, an application of this functional to the case of unspeciﬁed

change point candidate(s) is of interest as the functional yields very powerful tests.

4. Conclusion

Consistent tests for constancy of the copula with speciﬁed or unspeciﬁed change point

candidate are introduced. We observe a trade-oﬀ in assumptions required for the testing:

if a change point candidate is speciﬁed, then the test is consistent whether or not there is a

simultaneous change point in marginal distribution function(s). If change point candidate(s)

are unspeciﬁed, then the assumption of strictly stationary marginal distribution functions

is required and allows to drop continuity assumptions on the partial derivatives of the

underlying copula(s). Tests are shown to behave well in size and power when applied to

various types of dependent observations. P-Values of the tests are estimated using a tapered

block multiplier technique which is based on serially dependent multiplier random variables;

the latter is shown to perform better than the block bootstrap in mean and mean squared

error when estimating the asymptotic covariance structure of the empirical copula process

in various settings.

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5. Appendix: Proofs of the results

Proof of Theorem 1. The proof is established as in Gaißer et al. [21], Proof of Theorem

4 while applying a result on Hadamard-diﬀerentiability under nonrestrictive smoothness

assumptions obtained by Bücher [4]. Consider integral transformations U

j,i

:= F

i

(X

j,i

)

for all j = 1, . . . , n, i = 1, . . . , d, and denote their joint empirical distribution function

by

´

F

n

. As exposed in detail by Fermanian et al. [18], Lemma 1, integral transformations

allow to simplify the exposition while obtained asymptotic results remain valid for general

continuous marginal distribution functions. Under the strong mixing condition α

X

(r) =

O(r

−a

) for some a > 1, Rio [40] proves weak convergence of the empirical process in the

space ℓ

∞

([0, 1]

d

) :

√

n

_

´

F

n

(u) −F(u)

_

w.

−→B

F

(u).

Notice that the copula can be obtained by a mapping Υ :

Υ : D

Υ

→ℓ

∞

([0, 1]

d

),

F →Υ(F) := F

_

F

−1

1

, . . . , F

−1

d

_

.

Bücher [4], Lemma 2.6 establishes the following result which is pivotal to conclude the

proof:

27

Lemma 2. Assume that F satisﬁes Condition (3). Then Υ is Hadamard-diﬀerentiable at

C tangentially to

D

0

:=

_

D ∈ C

_

[0, 1]

d

_

|D is grounded and D(1, . . . , 1) = 0

_

The derivative at F in D ∈ D

0

is represented by

_

Υ

′

F

(D)

_

(u) = D(u) −

d

i=1

D

i

F

_

u

(i)

_

D(u

(i)

), for all u ∈ [0, 1]

d

,

whereas D

i

F(u), i = 1, . . . , d is deﬁned on the basis of Equation (4).

Hence, an application of the functional delta method yields weak convergence of the trans-

formed empirical process in (ℓ

∞

([0, 1]

d

), .

∞

) :

√

n

__

Υ

_

´

F

n

__

(u) −(Υ(F)) (u)

_

w.

−→

_

Υ

′

F

(B

F

)

_

(u) .

To conclude the proof, notice that

sup

u∈[0,1]

d

¸

¸

¸

_

Υ

_

´

F

n

__

(u) −

´

C

n

(u)

¸

¸

¸ = O

_

1

n

_

.

Proof of Theorem 2. Bühlmann [6], proof of Theorem 3.1 considers integral transformations

U

j,i

:= F

i

(X

j,i

) for all j = 1, . . . , n and i = 1, . . . , d and proves the bootstrapped empirical

process to converge weakly conditional on X

1

, . . . , X

n

almost surely in the space D([0, 1]

d

)

of càdlàg functions equipped with the uniform metric .

∞

:

√

n

_

´

F

B

n

(u) −

´

F

n

(u)

_

a.s.

−→

H

B

F

(u).

Based on Hadamard-diﬀerentiability of the map Υ as established in the proof of Theorem

1, an application of the functional delta method for the bootstrap [see, e.g., 49] yields weak

convergence of the transformed empirical process conditional on X

1

, . . . , X

n

in probability

in (ℓ

∞

([0, 1]

d

), .

∞

) :

√

n

__

Υ

_

´

F

B

n

__

(u) −

_

Υ

_

´

F

n

__

(u)

_

P

−→

H

_

Υ

′

F

(B

F

)

_

(u) .

To conclude the proof, recall that the empirical copula as deﬁned in Equation (2) and the

map Υ share the same asymptotic behavior.

Proof of Theorem 3. Based on integral transformations U

j,i

:= F

i

(X

j,i

) for all j = 1, . . . , n

and i = 1, . . . , d, Bühlmann [6], proof of Theorem 3.2 establishes weak convergence of

the tapered block empirical process conditional on a sample X

1

, . . . , X

n

almost surely in

_

D([0, 1]

d

), .

∞

_

:

√

n

_

_

1

n

n

j=1

ξ

j

¯

ξ

1

U

j

≤u}

−C

n

(u)

_

_

a.s.

−→

ξ

B

M

C

(u),

28

under assumptions A1, A2, A3, provided that the process is strongly mixing with given

rate. Notice that the tapered multiplier empirical copula process as well as its limit are right-

continuous with left limits, hence, reside in D([0, 1]

d

). Functions in D([0, 1]

d

) are deﬁned on

the closed set [0, 1]

d

, are bounded in consequence, which implies D([0, 1]

d

) ⊂ ℓ

∞

([0, 1]

d

).

Following Lemma 7.8 in Kosorok [30], convergence in (D([0, 1]

d

), .

∞

) is then equivalent to

convergence in (ℓ

∞

([0, 1]

d

), .

∞

) (and more generally in any other function space of which

D([0, 1]

d

) is a subset and which further contains the tapered multiplier empirical copula

process as well as its limit).

It remains to prove that the limiting behavior of the tapered block multiplier process for

independent observations is unchanged if we assume the marginal distribution functions

to be unknown. Using an argument of Rémillard and Scaillet [38], consider the following

relation between the tapered block multiplier process in the case of known and unknown

marginal distribution functions

B

M

C,n

(u) =

√

n

_

_

_

1

n

n

j=1

d

i=1

ξ

j

¯

ξ

1

{U

j,i

≤u}

−C

n

(u)

_

_

_

=

√

n

_

_

_

1

n

n

j=1

d

i=1

ξ

j

¯

ξ

1

{

´

U

j,i

≤

´

F

i(F

−1

i

(u

i

))}

−C

n

_

´

F

1

_

F

−1

1

(u

1

)

_

, . . . ,

´

F

d

_

F

−1

d

(u

d

)

_

_

_

_

_

=

´

B

M

C,n

_

´

F

1

_

F

−1

1

(u

1

)

_

, . . . ,

´

F

d

_

F

−1

d

(u

d

)

_

_

,

where

´

B

M

C,n

denotes the tapered block multiplier process in the case that the marginal dis-

tribution functions as well as the copula are unknown. Under the given set of assumptions,

we have in particular

sup

u∈[0,1]

d

|C

n

(u) −C(u)| → 0.

Consider u

(i)

= (1, . . . , 1, u

i

, 1, . . . , 1). It follows that

sup

u

i

∈[0,1]

¸

¸

¸

¸

¸

¸

1

n

n

j=1

1

{X

j,i

≤F

−1

i

(u

i

)}

−u

i

¸

¸

¸

¸

¸

¸

= sup

u

i

∈[0,1]

¸

¸

¸

´

F

i

_

F

−1

i

(u

i

)

_

−u

i

¸

¸

¸ →0

for all i = 1, . . . , d as n →∞. We conclude that (B

C,n

,

´

B

M

C,n

)

w.

−→(B

C

, B

M

C

) in ℓ

∞

([0, 1]

d

) ×

ℓ

∞

([0, 1]

d

).

Proof of Lemma 1. Consider

√

n

_

´

C

n

(u) −

´

C

N

(u)

_

=

√

n

_

´

C

n

(u) −C(u)

_

−

√

n

_

´

C

N

(u) −C(u)

_

=

√

n

_

´

C

n

(u) −C(u)

_

−

√

n

√

N

√

N

_

´

C

N

(u) −C(u)

_

w.

−→G

C

(u),

since the factor

√

n/

√

N tends to zero for n(N) → ∞and n(N) = o(N). Following Theorem

1,

√

N

_

´

C

N

(u) −C(u)

_

converges to a tight centered Gaussian process in (ℓ

∞

([0, 1]

d

), .

∞

).

The result is derived by an application of Slutsky’s Theorem and consistent (covariance)

estimation.

29

Proof of Theorem 4. With given assumptions, the asymptotic behavior of each empirical

copula process is derived in Theorem 1:

´

G

C

1

,⌊λn⌋

(u) :=

_

⌊λn⌋

_

´

C

⌊λn⌋

(u) −C

1

(u)

_

w.

−→G

C

1

(u) := B

C

1

(u) −

d

i=1

D

i

C

1

(u)B

C

1

_

u

(i)

_

in (ℓ

∞

([0, 1]

d

), .

∞

). Analogously, we have

¯

G

C

2

,n−⌊λn⌋

(v) :=

_

n −⌊λn⌋

_

¯

C

n−⌊λn⌋

(v) −C

2

(v)

_

w.

−→G

C

2

(v) := B

C

2

(v) −

d

i=1

D

i

C

2

(v)B

C

2

_

v

(i)

_

in (ℓ

∞

([0, 1]

d

), .

∞

). If a joint, hence, 2d-dimensional mean zero limiting Gaussian process

(G

C

1

(u) G

C

2

(v))⊤ exists, then a complete characterization can be obtained based on its

covariance function [cf. 49, Appendix A.2]. Hence, it remains to prove that the empirical

covariance matrix converges to a well-deﬁned limit. To ease exposition, indices within the

sample X

1

, . . . , X

n

are shifted by −⌊λn⌋ to locate the change point candidate at zero. The

covariance matrix is given by

lim

n→∞

_

_

Cov

_

´

G

C

1

,⌊λn⌋

(u),

´

G

C

1

,⌊λn⌋

(v)

_

Cov

_

´

G

C

1

,⌊λn⌋

(u),

¯

G

C

2

,n−⌊λn⌋

(v)

_

Cov

_

¯

G

C

2

,n−⌊λn⌋

(v),

´

G

C

1

,⌊λn⌋

(u)

_

Cov

_

¯

G

C

2

,n−⌊λn⌋

(u),

¯

G

C

2

,n−⌊λn⌋

(v)

_

_

_

for all u, v ∈ [0, 1]

d

if the limit exists, whereas

Cov

_

´

G

C

1

,⌊λn⌋

(u),

´

G

C

1

,⌊λn⌋

(v)

_

:=

1

⌊λn⌋

0

i=−⌊λn⌋+1

0

j=−⌊λn⌋+1

Cov

_

1

{

´

U

i

≤u}

, 1

{

´

U

j

≤v}

_

, (30)

Cov

_

´

G

C

1

,⌊λn⌋

(u),

¯

G

C

2

,n−⌊λn⌋

(v)

_

:=

1

_

⌊λn⌋(n − ⌊λn⌋)

0

i=−⌊λn⌋+1

n−⌊λn⌋

j=1

Cov

_

1

{

´

U

i

≤u}

, 1

{

´

U

j

≤v}

_

, (31)

Cov

_

¯

G

C

2

,n−⌊λn⌋

(v),

´

G

C

1

,⌊λn⌋

(u)

_

:=

1

_

⌊λn⌋(n − ⌊λn⌋)

n−⌊λn⌋

i=1

0

j=−⌊λn⌋+1

Cov

_

1

{

´

U

i

≤v}

, 1

{

´

U

j

≤u}

_

, (32)

Cov

_

¯

G

C

2

,n−⌊λn⌋

(u),

¯

G

C

2

,n−⌊λn⌋

(v)

_

:=

1

n − ⌊λn⌋

n−⌊λn⌋

i=1

n−⌊λn⌋

j=1

Cov

_

1

{

´

U

i

≤u}

, 1

{

´

U

j

≤v}

_

. (33)

Convergence of the series in Equations (30) and (33) follows from Theorem 1, furthermore

the limiting variances are equal (under the null hypothesis) and the double sum in its

representation can be simpliﬁed [see 39] to reconcile the result of Theorem 1. Equations

(31) and (32) coincide by symmetry and converge absolutely, as:

lim

n→∞

¸

¸

¸Cov

_

´

G

C1,⌊λn⌋

(u),

¯

G

C2,n−⌊λn⌋

(v)

_¸

¸

¸ ≤ lim

n→∞

4

_

⌊λn⌋(n −⌊λn⌋)

0

i=−⌊λn⌋+1

n−⌊λn⌋

j=1

α

X

(|j −i|)

cf. Inoue [27], proof of Theorem 2.1 and Hall and Heyde [25], Theorem A5. Direct cal-

culations and an application of the Cauchy condensation test to the generalized harmonic

30

series yield:

lim

n→∞

4

_

⌊λn⌋(n −⌊λn⌋)

0

i=−⌊λn⌋+1

n−⌊λn⌋

j=1

α

X

(|j −i|) < 4

∞

i=1

α

X

(i) < 4

∞

i=1

i

−a

< ∞, (34)

based on strong mixing with polynomial rate α

X

(r) = O(r

−a

) for some a > 1. Absolute

convergence of Equations (31) and (32) follows the comparison test for inﬁnite series with

respect to the series given in Equation (34). Notice that (under the null hypothesis):

_

⌊λn⌋(n −⌊λn⌋)

n

_

´

C

⌊λn⌋

(u) −

¯

C

n−⌊λn⌋

(u)

_

=

_

n −⌊λn⌋

n

´

G

C

1

,⌊λn⌋

(u) −

_

⌊λn⌋

n

¯

G

C

2

,n−⌊λn⌋

(u)

for all u ∈ [0, 1]

d

. An application of the continuous mapping theorem and Slutsky’s theorem

yields

T

n

(λ)

w.

−→ T(λ) =

_

[0,1]

d

_

√

1 −λG

C

1

(u) −

√

λG

C

2

(u)

_

2

du.

Proof of Corollary 1. Assume a sample X

1

, . . . , X

n

of (X

j

)

j∈Z

with speciﬁed change

point candidate ⌊λn⌋ for λ ∈ [0, 1] such that U

i

∼ C

1

for all i = 1, . . . , ⌊λn⌋ and U

i

∼

C

2

for all i = ⌊λn⌋+1, . . . , n. Based on pseudo-observations

´

U

1

, . . . ,

´

U

⌊λn⌋

and

´

U

⌊λn⌋

, . . . ,

´

U

n

(which are estimated separately for each subsample), consider

_

⌊λn⌋

n

_

⌊λn⌋

_

´

C

⌊λn⌋

(u) −C

1

(u)

_

+

_

n −⌊λn⌋

n

_

n −⌊λn⌋

_

¯

C

n−⌊λn⌋

(u) −C

2

(u)

_

for all u ∈ [0, 1]

d

. If C

1

and C

2

satisfy Condition (3), then weak convergence of the latter

linear combination follows by an application of Slutsky’s theorem and the proof of Theorem

4. Merging the sums involved in the two empirical copulas yields:

⌊λn⌋

√

n

_

´

C

⌊λn⌋

(u) −C

1

(u)

_

+

n −⌊λn⌋

√

n

_

¯

C

n−⌊λn⌋

(u) −C

2

(u)

_

(35)

=

√

n

_

_

_

1

n

n

j=1

1

{

´

U

j

≤u}

−

⌊λn⌋

n

C

1

(u) −

n −⌊λn⌋

n

C

2

(u)

_

_

_

=

√

n

_

_

_

1

n

n

j=1

1

{

´

U

j

≤u}

−C

mix

(u)

_

_

_

, (36)

for all u ∈ [0, 1]

d

where, asymptotically equivalent, C

mix

(u) := λC

1

(u) + 1 −λC

2

(u). Due

to separate estimation of pseudo-observations in each subsample, ties occur with positive

probability P

n

(

´

U

j

1

,i

=

´

U

j

2

,1

) > 0 for j

1

∈ {1, . . . , ⌊λn⌋} and j

2

∈ {⌊λn⌋ +1, . . . , n} in ﬁnite

samples. Asymptotically, we have lim

n→∞

P

n

(

´

U

j

1

,i

=

´

U

j

2

,1

) = 0.

Hence, Equation (36) can be estimated on the basis of the tapered block multiplier approach

as given in Theorem 3 and Equation (12), respectively. The Corollary follows as Equation

31

(35) reconciles Equation (21) up to a rescaling of deterministic factors and an application

of the continuous mapping theorem.

Proof of Theorem 5. As observed in Equation (26), under the null hypothesis of a constant

copula, weak convergence of S

n

(ζ, u) can be derived based on the asymptotic behavior of

the sequential empirical process. Under given assumptions, consider:

B

C,n

(ζ, u) :=

1

√

n

⌊ζn⌋

j=1

_

1

{U

j

≤u}

−C(u)

_

,

´

G

C,n

(ζ, u) :=

1

√

n

⌊ζn⌋

j=1

_

1

{

´

U

j

≤u}

−C(u)

_

for all (ζ, u) ∈ [0, 1]

d+1

. Philipp and Pinzur [35] prove convergence of B

C,n

(ζ, u) : there exists

η > 0 depending on the dimension and the strong mixing rate α

X

(r) = O(r

−4−d{1+ǫ}

) for

some 0 < ǫ ≤ 1/4, such that:

sup

0≤λ≤1

sup

u∈[0,1]

d

¸

¸

¸

¸

B

C,n

(ζ, u) −

1

√

n

B

C

(ζ, u)

¸

¸

¸

¸

= O

_

{log n}

−η

_

almost surely in (ℓ

∞

([0, 1]

d+1

), .

∞

), where B

C

(ζ, u) is a C-Kiefer process with covariance

Cov (B

C

(ζ

1

, u), B

C

(ζ

2

, v)) = min(ζ

1

, ζ

2

)

j∈Z

Cov

_

1

{U

0

≤u}

, 1

{U

j

≤v}

_

.

Notice that, following the work of Dhompongsa [14], an improvement of the considered

strong mixing condition is possible - this improvement, however, is not relevant for the

time-series applications investigated in this paper.

It remains to prove weak convergence in the case of unknown marginal distribution func-

tions. Note that

B

C,n

(ζ, u) =

1

√

n

⌊ζn⌋

j=1

_

d

i=1

1

{

´

U

j,i

≤

´

F

n,i

(F

−1

i

(u

i

))}

−C(u)

_

=

´

G

C,n

_

ζ,

´

F

1

(F

−1

1

(u

1

)), . . . ,

´

F

d

(F

−1

d

(u

d

))

_

+

⌊ζn⌋

n

·

√

n

_

C

_

´

F

1

(F

−1

1

(u

1

)), . . . ,

´

F

d

(F

−1

d

(u

d

))

_

−C(u)

_

, (37)

whereas weak convergence of the sequential empirical process B

C,n

(ζ, u) is established and

weak convergence of Equation (37) can be proven by an application of the functional delta

method and Slutsky’s theorem [see 4, and references therein]. More precisely, if the partial

derivatives D

i

C(u) of the copula exist and satisfy Condition (3), then

´

G

C,n

(ζ, u)

w.

−→B

C

(ζ, u) −ζ

d

i=1

D

i

C(u)B

C

_

1, u

(i)

_

(38)

in (ℓ

∞

([0, 1]

d+1

), .

∞

). Weak convergence of the (d+1)-time parameter tied down empirical

32

copula process given in Equation (26) holds, since:

S

n

(ζ, u) =

´

G

C,n

(ζ, u) −

⌊ζn⌋

n

´

G

C,n

(1, u)

=B

C,n

(ζ, u) −

⌊ζn⌋

n

B

C,n

(1, u)

+

_

ζ −

⌊ζn⌋

n

_

√

n

_

C

_

´

F

1

(F

−1

1

(u

1

)), . . . ,

´

F

d

(F

−1

d

(u

d

))

_

−C(u)

_

w.

−→B

C

(ζ, u) −ζB

C

(1, u)

in (ℓ

∞

([0, 1]

d+1

), .

∞

). Notice that Equation (38) and in particular continuity of the partial

derivatives is not required for this result [cf. the work of 36, in the context of GARCH

residuals]. Convergence of the test statistics T

1

n

, T

2

n

, and T

3

n

follows by an application of

the continuous mapping theorem.

Proof of Corollary 2. Under the null hypothesis, weak convergence conditional on

X

1

, . . . , X

n

almost surely follows combining the results of Theorems 3 and 5. The strong

mixing assumptions of the former theorem on conditional weak convergence of the tapered

block multiplier empirical copula process are relevant for this proof since they imply those

of the latter Theorem 5. Under the alternative hypothesis, there exist P change point

candidates such that

0 = λ

0

< λ

1

< . . . < λ

P

< λ

P+1

= 1,

whereas U

j

∼ C

p

for all j = ⌊λ

p−1

n⌋ + 1, . . . , ⌊λ

p

n⌋ and p ∈ P := {1, . . . , P + 1}. For any

given ζ ∈ [0, 1], deﬁne

ω :=

_

0 for 0 < ζ ≤ λ

1

,

arg max

p∈P

λ

p

1

{λp<ζ}

for λ

1

< ζ ≤ 1,

which, for ζ > λ

1

, yields the index of the maximal change point strictly dominated by ζ.

Consider the following linear combination of copulas:

L

n

(ζ, u) :=

ω

p=1

⌊λ

p

n⌋ −⌊λ

p−1

n⌋

⌊ζn⌋

C

p

(u) +

⌊ζn⌋ −⌊λ

ω

n⌋

⌊ζn⌋

C

ω+1

(u)

→

ω

p=1

λ

p

−λ

p−1

ζ

C

p

(u) +

ζ −λ

ω

ζ

C

ω+1

(u) =: L(ζ, u)

for all (ζ, u) ∈ [0, 1]

d+1

. Consider a sample X

1

, . . . , X

n

of a process (X

j

)

j∈Z

. Given knowl-

edge of the constant marginal distribution functions F

i

, i = 1, . . . , d, the empirical copula

33

of X

1

, . . . , X

⌊ζn⌋

converges weakly in (ℓ

∞

([0, 1]

d+1

), .

∞

) :

_

⌊ζn⌋

_

_

_

1

⌊ζn⌋

⌊ζn⌋

j=1

1

{U

j

≤u}

−L

n

(ζ, u)

_

_

_

(39)

=

_

⌊ζn⌋

_

_

_

1

⌊ζn⌋

⌊ζn⌋

j=1

1

{U

j

≤u}

−

ω

p=1

⌊λ

p

n⌋ −⌊λ

p−1

n⌋

⌊ζn⌋

C

p

(u) −

⌊ζn⌋ −⌊λ

ω

n⌋

⌊ζn⌋

C

ω+1

(u)

_

_

_

=

ω

p=1

1

_

⌊ζn⌋

_

_

_

⌊λpn⌋

j=⌊λ

p−1

n⌋+1

1

{U

j

≤u}

−(⌊λ

p

n⌋ −⌊λ

p−1

n⌋) C

p

(u)

_

_

_

+

1

_

⌊ζn⌋

_

_

_

⌊ζn⌋

j=⌊λωn⌋+1

1

{U

j

≤u}

−(⌊ζn⌋ −⌊λ

ω

n⌋) C

ω+1

(u)

_

_

_

w.

−→

ω

p=1

¸

λ

p

−λ

p−1

ζ

B

Cp

(u) +

¸

ζ −λ

ω

ζ

B

C

ω+1

(u) =:

B

L

(ζ, u)

√

ζ

.

The latter result follows from Theorem 1 and the results on joint convergence given in the

proof of Theorem 4.

Considering the tapered multiplier empirical copula process, we have

´

S

M(s)

n

(ζ, u) =

1

√

n

_

_

⌊ζn⌋

j=1

ξ

(s)

j

_

1

{

´

U

j

≤u}

−

´

C

n

(u)

_

−

⌊ζn⌋

n

n

j=1

ξ

(s)

j

_

1

{

´

U

j

≤u}

−

´

C

n

(u)

_

_

_

=

1

√

n

⌊ζn⌋

j=1

ξ

(s)

j

_

1

{

´

U

j

≤u}

−

´

C

⌊ζn⌋

(u)

_

−

_

´

C

n

(u) −

´

C

⌊ζn⌋

(u)

_

1

√

n

⌊ζn⌋

j=1

ξ

(s)

j

−

⌊ζn⌋

√

n

3

n

j=1

ξ

(s)

j

_

1

{

´

U

j

≤u}

−

´

C

n

(u)

_

,

for all (ζ, u) ∈ [0, 1]

d+1

, whereas (applying Equation (39) and Theorem 3) the ﬁrst and third

summands converge weakly conditional on X

1

, . . . , X

n

almost surely to limiting processes

B

M

L

(ζ, u) and ζB

M

L

(1, u), respectively, in (ℓ

∞

([0, 1]

d+1

), .

∞

). These are independent copies

of B

L

(ζ, u) and ζB

L

(1, u). Notice that the tapered multiplier random variables themselves

are, by construction, strongly mixing. If additionally centered around zero (i.e., satisfying

A3b), then the central limit theorem under strong mixing as given in Billingsley [2], The-

orem 27.4 proves weak convergence of the second summand to a Normal limit conditional

on X

1

, . . . , X

n

almost surely. Hence, there exists a tight limit in ℓ

∞

([0, 1]

d+1

).

34

1. Introduction Over the last decade, copulas have become a standard tool in modern risk management. The copula of a continuous random vector is a function which uniquely determines the dependence structure linking the marginal distribution functions. Copulas play a pivotal role for, e.g., measuring multivariate association [see 45], pricing multivariate options [see 48] and allocating ﬁnancial assets [see 34]. The latter two references emphasize that time variation of copulas possesses an important impact on ﬁnancial engineering applications. Evidence for time-varying dependence structures can indirectly be drawn from functionals of the copula, e.g., Spearman’s ρ, as suggested by Gaißer et al. [20] and Wied et al. [51]. Investigating time variation of the copula itself, Busetti and Harvey [8] consider a nonparametric quantile-based test for a constant copula. Semiparametric tests for time variation of the parameter within a prespeciﬁed family of one-parameter copulas are proposed by Dias and Embrechts [15] and Giacomini et al. [23]. Guegan and Zhang [24] combine tests for constancy of the copula (on a given set of vectors on its domain), the copula family, and the parameter. The assumption of independent and identically distributed pseudo-observations is generally made in the latter references. With respect to ﬁnancial time-series, the estimation of a GARCH model represents a frequently chosen option in order to approximate this assumption using the residuals obtained after GARCH ﬁltration. The eﬀect of replacing unobserved innovations by estimated residuals, however, is to be taken into account. Therefore, speciﬁc techniques for residuals are required [cf., e.g., 11]. Exploring this approach, Rémillard [36] investigates a nonparametric change point test for the copula of residuals in stochastic volatility models. Avoiding the need to specify any parametric model, Fermanian and Scaillet [19] consider purely nonparametric estimation of copulas for time-series under strict stationarity and strong mixing conditions on the multivariate process. A recent generalization of this framework is proposed by van Kampen and Wied [50] who assume the univariate processes to be strictly stationary but relax the assumption of a constant copula and suggest a quantile-based test for a constant copula under strong mixing assumptions. We introduce nonparametric Cramér-von Mises-, Kuiper-, and Kolmogorov-Smirnov tests for a constant copula under strong mixing assumptions. The tests extend those for timeconstant quantiles by assessing constancy of the copula on its domain. In consequence, they are consistent under general alternatives. Depending on the object of investigation, tests with a speciﬁed or unspeciﬁed change point (candidate) are introduced. Whereas the former setting requires a hypothesis on the change point location, it allows us to relax the assumption of strictly stationary univariate processes. P-values of the tests are estimated based on a generalization of the multiplier bootstrap technique introduced in Rémillard and Scaillet [38] to the case of strongly mixing time series. The idea is comparable to block bootstrap methods: however, instead of sampling blocks with replacement, we generate blocks of serially dependent multiplier random variables. For a general introduction to the latter idea, we refer to Bühlmann [6] and Paparoditis and Politis [32]. This paper is organized as follows: in Section 2, we discuss convergence of the empirical copula process under strong mixing. A result of Doukhan et al. [17] is generalized to establish the asymptotic behavior of the empirical copula process under nonrestrictive smoothness assumptions based on serially dependent observations. Furthermore, a tapered block multiplier bootstrap technique for inference on the weak limit of the empirical copula process is derived and assessed in ﬁnite samples. Tests for a constant copula with speciﬁed or unspeciﬁed change point (candidate) which are relying on this technique are established in Section 3. 1

2. Nonparametric inference based on serially dependent observations As a basis for the tests introduced in the next section, the result of Segers [46] on the asymptotic behavior of the empirical copula process under nonrestrictive smoothness assumptions is generalized to enable its applicability to serially dependent observations. Furthermore, we introduce a multiplier-based resampling method for this particular setting, establish its asymptotic behavior and investigate performance in ﬁnite samples. 2.1. Asymptotic theory Consider a vector-valued process (Xj )j∈Z with Xj = (Xj,1 , . . . , Xj,d ) taking values in Rd . Let Fi be the distribution function of Xj,i for all j ∈ Z, i = 1, . . . , d and let F be the joint distribution of Xj for all j ∈ Z. Assume that all marginal distribution functions are continuous. Then, according to Sklar’s Theorem [47], there exists a unique copula C such that F (x1 , . . . , xd ) = C(F1 (x1 ), . . . , Fd (xd )) for all (x1 , . . . , xd ) ∈ Rd . The σ-ﬁelds generated by Xj , j ≤ t, and Xj , j ≥ t, are denoted by Ft = σ{Xj , j ≤ t} and F t = σ{Xj , j ≥ t}, respectively. We deﬁne α(Fs , F s+r ) = sup

A∈Fs ,B∈F s+r

|P (A ∩ B) − P (A)P (B)|.

The strong- (or α-) mixing coeﬃcient αX corresponding to the process (Xj )j∈Z is given by αX (r) = sups≥0 α(Fs , F s+r ). The process (Xj )j∈Z is said to be strongly mixing if αX (r) → 0 for r → ∞. This type of weak dependence covers a broad range of time-series models. Consider the following examples, cf. Doukhan [16] and Carrasco and Chen [10]: Example 1. i) AR(1) processes (Xj )j∈Z given by Xj = βXj−1 + ǫj , where (ǫj )j∈Z is a sequence of independent and identically distributed continuous innovations with mean zero. For |β| < 1, the process is strictly stationary and strongly mixing with exponential decay of αX (r). ii) GARCH(1, 1) processes (Xj )j∈Z , Xj = σj ǫj ,

2 2 σj = ω + βσj−1 + αǫ2 , j−1

(1)

where (ǫj )j∈Z is a sequence of independent and identically distributed continuous innova2 tions, independent of σ0 , with mean zero and variance one. For α + β < 1, the process is strictly stationary and strongly mixing with exponential decay of αX (r). Let X1 , . . . , Xn denote a sample from (Xj )j∈Z . A simple nonparametric estimator of the unknown copula C is given by the empirical copula which is ﬁrst considered by Rüschendorf [43] and Deheuvels [13]. Depending on whether the marginal distribution functions are assumed to be known or unknown, we deﬁne Cn (u) := 1 n

n d

j=1 i=1 n d

1{Uj,i ≤ui } for all u ∈ [0, 1]d , 1{Uj,i ≤ui } for all u ∈ [0, 1]d , 2 (2)

1 Cn (u) := n

j=1 i=1

1]d . . . Unless otherwise noted. [17] investigate dependent observations and establish the asymptotic behav√ ior of the empirical copula process. . . 1]d . (3) for all x ∈ R. . Segers [46] points out that many popular families of copulas (e.i for a broad class of copulas. except the ith coordinate of u. n and i = 1. 1]d with covariance function Cov(BC (u)BC (v)) = j∈Z Cov 1{U0 ≤u} . . 1]d . 1{Uj ≤v} for all u. then the empirical copula process converges weakly in the space of uniformly bounded functions on [0. Notice that the covariance structure as given in Equation (6) depends on the entire process (Xj )j∈Z . In this particular case. . . Consider observations X1 . d. In addition to the practical relevance of this assumption. d. all u ∈ [0. . 0 < ui < 1.g. Doukhan et al. and for all i = 1. . 1]d . . .i ) permit more eﬃcient inference on the copula than observations Uj. v ∈ [0. where ei denotes the ith column of a d × d identity matrix. . w. (4) whereas GC represents a Gaussian process given by d GC (u) = BC (u) − Di C(u)BC u(i) i=1 for all u ∈ [0. Genest and Segers [22] prove that pseudo-observations Uj. Condition (3) is not necessary to establish weak convergence of the empirical copula process. Under Condition (3).i = Fi (Xj. 1]d by all u ∈ [0. . Xn . . i = 1. Clayton. deﬁned by n{Cn − C}. The following Theorem is based on nonrestrictive smoothness assumptions and mild assumptions on the strong mixing rate: Theorem 1. where Fi (x) = 1 n n j=1 1{Xj. . d. assuming the copula to possess continuous partial derivatives on [0. 1]d |ui ∈ (0. ∞ : √ n Cn (u) − C(u) −→GC (u). all u ∈ [0. . 1]d . A result of Bücher [4] permits to establish the asymptotic behavior of the empirical copula process in the case of serially dependent observations. the Gaussian. the partial derivatives’ domain limh→0 C(u+hei )−C(u) for h C(u+hei ) Di C(u) = for lim suph↓0 h C(u)−C(u−hei ) lim suph↓0 for h can be extended to u ∈ [0. ui = 1. He establishes the asymptotic behavior of the empirical copula for serially independent observations under the weaker condition Di C(u) exists and is continuous on u ∈ [0. 1]d .with observations Uj. . (5) The vector u(i) denotes the vector where all coordinates.i = Fi (Xj. ui = 0. 1]d equipped with the uniform metric ℓ∞ ([0. If the marginal distribution functions Fi . If C satisﬁes Condition (3). 1]d .. are replaced by 1. . .i = Fi (Xj. . and Gumbel families) do not satisfy the assumption of continuous ﬁrst partial derivatives on [0. . d. .i ) and pseudo-observations Uj. The process BC is a tight centered Gaussian process on [0.i ≤x} the marginal distribution functions are assumed to be unknown and the estimator Cn is used. . 1]d ). 3 . drawn from a strictly stationary process (Xj )j∈Z satisfying the strong mixing condition αX (r) = O(r −a ) for some a > 1. . (6) The proof is given in 5. are known then the limiting process reduces to BC .i ) for all j = 1. 1) for all i = 1.

Furthermore. W P 4 . d. . . . The multiplier random variables represent the remaining source of stochastic inﬂuence in this conditional setting. . Xn and W). . . 1]d ). Moreover.i 1 := n n k=1 Wk 1{Xk. Kosorok [30]. . . . Section 2. .i } for all j = 1. .3. Modes of convergence which allow us to investigate weak convergence of the empirical copula process conditional on an observed sample are considered next. 4]. . 1]d )) which is deﬁned by f : ℓ∞ [0. . . Resampling techniques In this Section. 1] .i for all j = 1. In the case of independent and identically distributed observations satisfying Condition (3). n−1 ) distributed random variables W = (W1 . . ... [18] investigate the empirical copula process for independent and identically distributed observations X1 . validity of criteria (7) and (8) can be proven [see 18. 1] . .)∗ denote the measurable majorant and minorant with respect to the joint data (i.2. and Bücher and Dette [5]: sup h∈BL1 (ℓ∞ ([0. Section 3. .i ≤Xj. . 1]d . . n and i = 1. Xn . . n and i = 1. see van der Vaart and Wellner [49]. . Wn ) : W Cn (u) 1 := n n j=1 Wj 1{UW ≤u} for all u ∈ [0. h ∈ BL1 (ℓ∞ ([0. . f ∞ ≤ 1. XB and deﬁne n 1 B Cn (u) 1 := n n j=1 1{UB ≤u} for all u ∈ [0. h(. . Hence. We denote a bootstrap sample by XB . .1]d )) EW h √ W n Cn (u) − Cn (u) − Eh (GC (u)) −→ 0. . Xn in probability which is denoted by √ W n Cn (u) − Cn (u) −→ GC (u). . .2. a generalized multiplier bootstrap technique is introduced which is applicable in the case of serially dependent observations. . 1]d → R. P (8) The function h is assumed to be uniformly bounded with Lipschitz-norm bounded by one. . j d B Uj. . β ∈ ℓ∞ [0. . n−1 . the bootstrap empirical copula process converges weakly conditional on X1 . j d W Uj. d. .i 1 := n n k=1 1{X B ≤X B } j. .)∗ and h(. . .3. Moreover. . . i.e. . P (7) where EW denotes expectation with respect to W conditional on X1 . .2. .e. .9. a generalized asymptotic result is obtained for the (moving) block bootstrap which serves as a benchmark for the new technique in the following ﬁnite sample assessment. Xn . Xn in probability in ℓ∞ ([0. . . . X1 . . . . ∞ if the following two criteria are satisﬁed.i k. . . EW h √ W n Cn (u) − Cn (u) ∗ − EW h √ W n Cn (u) − Cn (u) ∗ −→ 0. Notice that the bootstrap empirical copula can equivalently be expressed based on multinomially (n. The bootstrap empirical copula process converges weakly conditional on X1 . . . Xn and prove consistency of the nonparametric bootstrap method which is based on sampling with replacement from X1 . |f (β) − f (γ)| ≤ β − γ ∞ for all γ. Fermanian et al. .

. . Given the sample X1 . . . If C satisﬁes Condition (3). . Xn . 1]d ). . Xn in probability in ℓ∞ ([0. Consider observations X1 .lB = {Xh+1 . Its asymptotic behavior is given next: Theorem 2. The block bootstrap sample is given by the observations of the k blocks BH1 . . . 4]. Based on bootstrap samples s = 1. XB = XH1 +1 . Xn in probability in ℓ∞ ([0.1 := 0 P (|ξj | > x)dx < ∞ for all j = 1. it is derived by means of an asymptotic result on the block bootstrap for general distribution functions established by Bühlmann [6]. . . . . . . . Whereas the bootstrap is consistent for independent and identically distributed samples. S a set of block bootstrap realizations to estimate the asymptotic behavior of the empirical copula process is obtained by: GC. . . drawn from a strictly stationary process (Xj )j∈Z satisfying ∞ (r + 1)16(d+1) αX (r) < ∞. ∞ . . . . . Xh+lB }. . . then the block bootstrap empirical copula process converges weakly conditional on X1 . . The previous theorem weakens the smoothness assumptions of a result obtained by Gaißer et al. . . . for all h = 0. additionally satisfying ξj 2. . . . lB (n) → ∞ as n → ∞ and lB (n) = o(n). XB = XHk +lB .n (u) = B(s) √ B(s) n Cn (u) − Cn (u) for all u ∈ [0. . XB = XH1 +lB . . . 1 n lB lB B Denote the block bootstrap empirical copula by Cn (u). . i. . [21].e. . ∞ : √ B n Cn (u) − Cn (u) −→ GC (u). . a block bootstrap method is proposed by Künsch [31]. the block bootstrap method requires blocks of size lB = lB (n). 1]d ). . . . . . . In consequence. . Hk independent and uniformly distributed random variables on {0. . n (whereas the last condition is slightly stronger than that of a ﬁnite second moment). . . We assume n = klB (else the last block is truncated) and simulate H = H1 . . . ¯ ξ ξ 5 . . 1]d . . . . . . .. Wn by ¯ ¯ ξ1 /ξ. consistency generally fails for serially dependent samples. .lB . . Xn almost surely is deﬁned analogously. Replacing the multinomial multiplier random variables W1 .lB . XB +1 = XH2 +1 . . . n − lB }. ξn /ξ (ensuring realizations having arithmetic mean one) yields the multiplier (empirical copula) process which converges weakly conditional on X1 . . Assume that lB (n) = O(n1/2−ǫ ) for r=1 0 < ǫ < 1/2. H P The proof is given in 5. . . ξn with ﬁnite ∞ positive mean and variance. consisting of consecutive observations Bh.Weak convergence conditional on X1 . . . BHk . . see Bücher and Dette [5]: √ 1 n n n j=1 ξj P 1{Uj ≤u} − Cn (u) −→ BC (u). . . . .1 and a representation of the copula as a composition of functions [18. Consider independent and identically distributed multiplier random variables ξ1 . Theorem 3. Xn . n − lB . A process related to the bootstrap empirical copula process can be formulated if both the assumption of multinomially distributed random variables is dropped and the marginal distribution functions are left unaltered during the resampling procedure.

both for known as well as for unknown marginal distribution functions. a generalization of the multiplier technique is considered next. . ξ n ξ j=1 where BM (u) is an independent copy of BC (u). we refer to the monographs of van der Vaart and Wellner [49] and Kosorok [30]. Xn almost surely is established in the following theorem: Theorem 3. Consider observations X1 . 1]d ).For general considerations of multiplier empirical processes. . A2 (ξj )j∈Z is a positive c · l(n)-dependent process. The process is introduced by Scaillet [44] in a bivariate context. ∞ : n √ ξj 1 a. for ﬁxed j ∈ Z.e. . For all j. . assume E[ξj ] = µ > 0. It is motivated by the fact that this technique is inconsistent when applied to serially dependent samples. Weak convergence of the tapered block multiplier process conditional on a sample X1 . drawn from a strictly stationary process (Xj )j∈Z satisfying ∞ (r + 1)c αX (r) < ∞. . i. We focus on copulas and consider a reﬁnement of this technique. . we consider µ = 1 and v(0) = 1. Cov[ξj . Xn . where l(n) = O(n1/2−ǫ ) for 0 < ǫ < 1/2. Inoue [27] develops a block multiplier process for general distribution functions based on dependent data in which the same multiplier random variable is used for a block of observations. . . ξj+h ] = µ2 v(h/l(n)) and v is a function symmetric about zero. C The proof is given in 5.0 (u) C. A2. Hence. . Then BM. h ∈ Z.3 and Paparoditis and Politis [32]: The main idea is to consider a sample ξ1 . . A3 with block length l(n) → ∞. a general multivariate version and its unconditional weak convergence are investigated by Rémillard and Scaillet [38]. Xn almost surely in ℓ∞ ([0. 30. .n (u) ξ . The tapered block multiplier empirical copula process converges weakly conditional on X1 . where c is a constant and l(n) → ∞ as n → ∞ while l(n) = o(n). a tapered block multiplier (empirical copula) process is introduced based on the work of Bühlmann [6]. . The multiplier random variables can as well be assumed to be centered around 0 zero [cf. without loss of generality.s. . All central moments of ξj are supposed to be bounded given the sample size n. ξj is independent of ξ(j + h) for all |h| ≥ c · l(n). An interesting property of the multiplier process is its convergence to an independent copy of BC . A3 (ξj )j∈Z is strictly stationary. More precisely. whereas c = max{8d + 12. Chapter 3. .. . Remark 1. satisfying: A1 (ξj )j∈Z is independent of the observation process (Xj )j∈Z . Let r=1 the tapered block multiplier process (ξj )j∈Z satisfy A1. Deﬁne ξj := ξj − µ. M n ¯ 1{Uj ≤u} − Cn (u) −→ BC (u). Proof of Theorem 2. . Bücher and Dette [5] ﬁnd that the multiplier technique yields more precise results than the nonparametric bootstrap in mean as well as in mean squared error when estimating the asymptotic covariance of the empirical copula process based on independent and identically distributed samples. ξn from a process (ξj )j∈Z of serially dependent tapered block multiplier random variables. .n 1 =√ n n 0 ξj j=1 ¯ ¯ 1 − ξ 0 1{Uj ≤u} = ξ √ n 6 n j=1 ξj ¯ M ¯ − 1 1{Uj ≤u} = ξBC.6]. ⌊2/ǫ⌋ + 1}.

e.g. it is symmetric about zero and tapered block multiplier process is deﬁned by ∞ = 1.1]d since BM (u) tends to a tight centered Gaussian limit. tapered block multiplier random variables can as well be deﬁned based on sequences (wj )j∈Z of. Example 3. Consider the function κ1 which assigns uniform weights given by κ1 (h) := 1 2l(n)−1 0 for all |h| < l(n) else.. The expectation of ξj is then given by E[ξj ] = 1. . its variance by V ar[ξj ] = 1 for all j ∈ Z. direct calculations further yield the covariance function Cov(ξj . A2. a basic version having uniform weights and a reﬁned version with triangular weights are investigated and compared: Example 2.n C. (9) where (wj )j∈Z is an independent and identically distributed sequence of.q) random variables with q := 1/[2l(n)−1]. {1 − |h|/l(n)}/l(n)} for all h ∈ Z. 1/ q). The assumption of centered multiC. A simple form of the tapered block multiplier random variables can be deﬁned based on moving average processes. In either one of these two cases. ξj+h ) = {2l(n) − 1 − |h|}/{2l(n) − 1} which linearly decreases as h increases in absolute value. Figure 1 shows the kernel function κ1 and simulated trajectories of Rademacher-type tapered block multiplier random variables.1]d [0. and A3. This is an asymptotically equivalent form of the above tapered block multiplier process: sup BM. There are numerous ways to deﬁne tapered block multiplier processes (ξj )j∈Z satisfying the above assumptions. let us deﬁne the kernel function by κ2 (h) := max{0. The tapered multiplier process (ξj )j∈Z follows Equation (9).n ξ [0. Exploring Remark 1.e. the resulting sequence (ξj )j∈Z satisﬁes A1. and A3b.q) random variables with q = 2/{3l(n)} + 1/{3l(n)3 }. 1]d .. Following Bühlmann [6].0 (u) − BM (u) = sup C.5 or Normal random variables √ wj ∼ N (0. For all j ∈ Z and |h| < 2l(n) − 1. Gamma(q. i. Rademacher-type random variables wj √ √ characterized by P (wj = −1/ q) = P (wj = 1/ q) = 0.n plier random variables is abbreviated as A3b in the following.n P ¯ ξ − 1 BM (u) −→ 0. The expectation of ξj is given by 1 E[ξj ] = +2 l(n) l(n) h=1 1 l(n) 7 1− h l(n) = 1. e. The resulting sequence (ξj )j∈Z satisﬁes A1. where (wj )j∈Z is an independent and identically distributed sequence of Gamma(q. in the following. h∈Z κ1 (h) Note that κ1 is a discrete kernel. C..for all u ∈ [0. The ξj = h=−∞ κ1 (h)wj+h for all j ∈ Z. A2.g.

. . ] = l(n)4 2 1 + 3l(n) 3l(n)3 V ar[w. respectively. . Kernel function κ1 (h) (left) and simulated trajectories of Rademacher-type tapered block multiplier random variables ξ1 . .g. . Given observations X1 . the covariance function Cov(ξj . Figure 2 provides an illustration of the kernel function κ2 as well as simulated trajectories of Rademacher-type tapered block multiplier random variables. ξn from a tapered block multiplier process (ξj )j∈Z satisfying A1. A set of copies of the tight centered Gaussian (s) (s) 8 .35 0.2 0. Notice the smoothing which is driven by the choice of kernel function and the block length l(n). Xn of a strictly stationary process (Xj )j∈Z satisfying the assumptions of Theorem 3 and further satisfying Condition (3). . A2. .2 0.05 0 −8 −6 −4 −2 0 h 2 4 6 8 −2 −3 0 2 3 2 1 0 −1 ξ j 20 40 j 60 80 100 Figure 2: Tapered block multiplier Monte Carlo simulation. This eﬀect can be further explored using more sophisticated kernel functions. Kernel function κ2 (h) (left) and simulated trajectories of Rademacher-type tapered block multiplier random variables ξ1 .25 κ (h) 0.. . . . e. ] = 1 for all j ∈ Z. A2. The resulting sequence (ξj )j∈Z satisﬁes A1. S samples ξ1 . In this setting. . . Section 6. and A3b. ξ100 (right) with block length l(n) = 3 (solid line) and l(n) = 6 (dashed line). A3. ξ100 (right) with block length l(n) = 3 (solid line) and l(n) = 6 (dashed line). .3 0. . . with bell-shape. estimation of Equation (5) requires three steps: consider s = 1.4 0.1 0. see 6. .05 0 −8 −6 −4 −2 0 h 2 4 6 8 1 3 2 1 0 −1 −2 −3 0 ξ j 20 40 j 60 80 100 Figure 1: Tapered block multiplier Monte Carlo simulation.15 0. direct calculations yield 1 V ar[ξj ] = +2 l(n)2 l(n) h=1 {l(n) − h}2 V ar[w. . (ξj )j∈Z satisﬁes A1. For any j ∈ Z and |h| < 2l(n) − 1.0. .25 κ (h) 0. For the variance. . respectively.35 0. this is left for further research. 0. A2.15 0.3 0. ξj+h ) can be described by a parabola centered at zero and opening downward [for details.1 0. . and A3.4 0.2].

Combining Equations (10) and (11). Example 1).2 ). .n M (s) u(i) for all u ∈ [0. Finite sample behavior Having established the asymptotic theory.n (u) − M (s) M (s) d i=1 Di Cn (u)BC. we consider the bivariate family of Gumbel copulas Gu Cθ (u1 . (13) for θ ∈ {1. . The results of this section complement those of Bücher and Dette [5] and Bücher [4] on bootstrap approximations for the empirical copula process based on independent and identically distributed observations. . 4]. S. 2. the class of AR(1) processes: we assume that a sample of n independent random variates Uj = (Uj. as a second family of copulas. S. . . . j = 1. A3b are easily deduced from Remark 1. In order to assess the performance of the two methods when applied to serially dependent data. Firstly. u2 ) = exp − {− ln (u1 )}θ + {− ln (u2 )}θ 1 θ . 1]d .n (u) = BC. 9 (15) . for all u ∈ [0. 4}. . Finite diﬀerencing yields a nonparametric estimator of the ﬁrst order partial derivatives Di C(u) : Cn (u+hei )−Cn (u−hei ) 2h Cn (u+2hei ) 2h Cn (u)−Cn (u−2hei ) 2h Di C(u) = for all u ∈ [0. (14) for θ ∈ {1. S. 3}. (11) √ where h = 1/ n and ei denotes the ith column of the d × d identity matrix [see 46. M (s) (12) An application of Segers [46].5. A2. 1] . 1]d . s = 1. . Uj. u2 ) = u−θ + u−θ − 1 1 2 −1 θ . Kendall’s τ = θ/(θ + 2) ∈ {1/3.e.1 . . 2/3}.2 proves that GC. s = 1. . Proposition 3. i. h ≤ ui ≤ 1 − h. We ﬁrst simulate independent and identically distributed observations from the bivariate Clayton copula given by Cl Cθ (u1 . θ ≥ 1. i. 1 − h < ui ≤ 1. Kendall’s τ = 1 − 1/θ ∈ {1/3. 2/3}. 1]d . . for all u ∈ [0. . θ > 0. 0 ≤ ui < h. . 1]d . ξ (s) (s) (10) The required adjustments for tapered block multiplier random variables satisfying A1.e. we evaluate and compare the ﬁnite sample properties of the (moving) block bootstrap and the introduced tapered block multiplier technique when estimating the limiting covariance of the empirical copula process in MC simulations. . two examples of strongly mixing time-series are considered (cf. n.n (u) converges weakly to an independent copy of the limiting process GC for all s = 1. we obtain: GC. . .n (u) 1 =√ n n j=1 ξj d ¯ − 1 1{Uj ≤u} for all u ∈ [0.process BC is obtained by M (s) BC.3.

(2/3. calculated at u = v ∈ {(1/3. n Cn (v) − CN (v) . GC (v) := Cov for all u. . as well as n(N ) = o(N ). We apply Lemma 1 in 106 MC replications with n = 1. Φ−1 (Uj. 1/3). Xn of an AR(1) process having Normal residuals by the initialization X1 = ε1 and recursive calculation of Xj = βXj−1 + εj for all j = 2. .2 . . n. Xj. . (1/3. . . . Therefore. . n as given in Equation (16). . 2. [28] to model volatility of S&P 500 and DAX daily (log-)returns in an empirical application which shows the practical relevance of this speciﬁc parameter choice. 1) standard deviation and iterative calculation of the general process given in Equation (1) with the following parameterizations: Xj. . the theoretical covariance is unknown after the transformations carried out to generate dependent observations: though any chosen copula is invariant under componentwise application of the (strictly monotonic) inverse standard Normal distribution. Under the assumptions of Theorem 1. heteroscedastic standard deviations σj. For comparison.072ǫ2 . the theoretical covariance Cov(GC (u). .1 = 0. . 000 and N = 106 to provide an approximation of the true covariance. . a consistent estimator for Cov(GC (u). 2/3).037 + 0. 1]d . (2/3. j−1 2 2 σj. . i = 1.5.2 )). The initially chosen coeﬃcient of the lagged variable is β = 0. the limiting tight centered Gaussian process GC is instead estimated conditional on a sample X1 . 2/3)}. The proof is given in 5.1 ). n. In the case of independent observations.2 = σj. GC (v)) is provided by Cov GC (u). we as well investigate observations from bivariate copula-GARCH(1. for all j = 1. are obtained by initializing σ0. 2 2 σj. Based on the MC simulation of εj for all j = 1. we apply 10 √ √ n Cn (u) − CN (u) . The following Lemma provides an alternative benchmark based on consistent estimation of the unknown theoretical covariance structure: Lemma 1. . Consider a sample X1 . .919σj−1 + 0. .1 = σj. 2 1 − αi − βi (17) using the unconditional GARCH(1.i .012 + 0.868σj−1 + 0. . . .i = ωi for i = 1. 1) processes may not leave the copula invariant. . Deﬁne εj = (Φ−1 (Uj. n.is drawn from one of the aforementioned copulas. . . serves as a benchmark. . it is not possible to iterate MC simulations.1 . In practice.2 = 0. . . j−1 (18) (19) for all j = 1. the transformations required to obtain samples from AR(1) or GARCH(1. However.1 ǫj. (16) We obtain a sample X1 . .115ǫ2 . The considered coeﬃcients are estimated by Jondeau et al. GC (v)). XN . Xn . . v ∈ [0. 1/3).2 ǫj. 1) processes having a speciﬁed static copula [see 33]. Assume that N → ∞ and choose n such that n(N ) → ∞.

8656 3.0061 0.0408 0. M2 M1 B 0.0495 0.7512 2.0425 0. i = 1.7949 2.d.0051 0.1366 1.0432 0.0507 2.0493 0.0338 0.0064 0.6090 2.0072 0.0017 2. 000 Monte Carlo replications.1518 2.0335 0.0336 0.5) 3.0338 0. M2 M1 B Approx.0571 4.0598 3.0398 0.0120 1.6324 1. and AR(1) settings.0631 0.4103 0.8959 0.0533 0.0492 0.9826 4.0042 0.0526 2.5706 1.1991 2.0437 1.0058 0.8286 0.0616 0.2381 4.0261 2.0620 0.0345 0.0458 0. 2/3) Mean MSE (2/3.1150 3.0502 0.0395 0.0064 0.2657 1.0394 0.6583 0.0660 2.0390 0.9355 AR(1) setting with β = 0.0429 0.0355 0.0408 0.4187 2.0472 0.0535 0.0257 0.0069 0.0432 0.9893 0.5796 0.0497 0.4252 3.0402 0. 0.0344 0.0062 0. For each replication.0042 0.0294 0.5441 2.0070 0.2449 1.3824 4.0071 0.0625 0.0336 0.5841 0. block length lM = 3. 2.0329 0.0605 0.3715 0.0042 0.0063 0.3656 0.0484 0.0521 Gumbel (θ = 3) 2.6220 1.0058 0.2583 1.0485 0.9658 2.0594 0.1359 1.0072 0.0699 3.4783 Clayton (θ = 4) Approx.0342 0.6948 3.1538 0. sample size n = 100 and 1.0501 0.0058 0.0602 3.0125 2.0335 0. M2 M1 B True Approx.5 Clayton Approx.0391 0.0409 0.3390 2.0508 0.0259 0.0042 0.0058 0.0338 0. 1/3) Mean MSE (2/3.7410 2.0097 0.0254 0.0398 0.8396 0.0510 0.3456 1.8473 0.7410 2.8739 3.0127 2.0100 0.0486 0.4946 1. 1/3) Mean MSE (1/3.7910 3.6040 0.0470 1. setting Clayton True (θ = 1) Approx.3275 2.0132 0.5) 1.0104 2.0629 0.0528 0.0069 0.0514 0.0335 0.i.5207 0.7239 3.4920 3.1894 11 .8334 1. we perform S = 2. 2/3) Mean MSE i.0617 0.0385 0. M2 M1 B 0. (u1 .6666 0.0735 0. 000 tapered block multiplier (Mi ) repetitions with Normal multiplier random variables.0587 3. M2 M1 B Approx.0599 0.d.0375 0.0344 0.0389 0.7255 Gumbel (θ = 1.0508 0.0487 0. kernel function κi .3851 0.4427 0.0496 0.5836 1.0600 0.7048 3.1375 0.0063 0.0383 0.0307 0.0338 0. and block bootstrap (B) repetitions with block length lB = 5.8803 0.2965 Gumbel (θ = 1.0071 0. M2 M1 B True Approx.0496 0.0990 0.0493 0.0396 0.3673 0.3914 1.0460 0.0422 0.Table 1: Mean and MSE (×104 ) Monte Carlo results.6323 1.0122 1.7885 0. M2 M1 B Clayton (θ = 4) True Approx.0407 0.5869 1.0070 0.0432 0.0347 0.0404 0.9819 1.4409 0.3662 0.0620 0.0128 0.0406 0.0345 0.0338 0.0585 0.0626 0.0340 0. u2 ) (1/3.6662 1.0255 0.0735 0.0433 3.0720 0.5289 0.0050 0.4919 2.0064 0.0409 0.i.7222 0.2134 Gumbel (θ = 3) 1.2273 1.0494 0.6297 2.0524 0. I.0353 0.0761 0.0061 0.0599 (θ = 1) M2 0.2934 2.0346 0.0343 0.3832 0.9785 1.0306 0.0429 0.0048 0.0048 0.0336 0.0643 0.1797 M1 0.5530 2.5305 B 0.0344 0.2025 2.0672 3.0373 0.4128 2.5903 2.0293 0.

we perform S = 2.2685 1.0061 0.3950 0.0430 0.4663 2.5) 1.4806 0.0468 0.0067 0.0485 0.0064 0.1513 1.0044 0.0715 0.8678 0.0073 0.0467 0.0346 0.0318 0.8808 Gumbel (θ = 1.8999 1.8137 0.9800 2.0073 0.0044 0.0074 0.0345 0.0338 0.0428 0.2505 0.0410 0.0536 3.0072 0.0395 0.7448 0.3824 0.0562 0.0493 0.0058 0.7936 1.0433 0.0341 0. 000 Monte Carlo replications. 1/3) Mean MSE (2/3.0489 0.0409 0.0409 0.0408 0.0067 0.0347 0.0693 0.0347 0. setting Clayton True (θ = 1) Approx.0703 0.0546 0.0105 0.9235 2.0508 0. For each replication.0493 0.0329 0.0094 0. (u1 .2579 1.0336 0.0345 0.0503 0.0058 0.0574 0.9107 1.0294 0.0062 0. I.2577 0.4884 0.0402 0.4053 0.0649 0.5811 0.0676 2.2444 0.d. M2 M1 B Approx.0390 0.8719 1. M2 M1 B 0. sample size n = 200 and 1.i.0338 0.7178 0. 1/3) Mean MSE (1/3.0320 0.0367 1.0494 0.8163 1.0593 0. and AR(1) settings.8113 0.0432 0.9932 1.3890 0.5375 0.9594 1.0064 0.0646 0.0426 0.0261 0.3197 0.0432 0.5427 0.0403 0.0487 0.3034 2.0385 0. u2 ) (1/3.5320 AR(1) setting with β = 0.0260 0.0490 0.0486 0.5 Clayton Approx.6024 1. M2 M1 B True Approx.5133 2.0074 0.0388 0.1697 1.0389 0.0293 0.2908 0.0341 0. 2/3) Mean MSE i.0512 0.0345 0.0408 0. 2.0400 0.0639 0.2152 0.8157 0.0388 1.0460 0. block length lM = 4.0522 0.0408 0.2576 0.1701 1.0278 0.0347 0.3917 0.1943 1.2909 1.5846 2.1693 0.2233 0.0061 0.0511 0.0094 2.0336 0.9078 1.9784 2.5) 2.0361 0.0346 0.0638 0. M2 M1 B Clayton (θ = 4) True Approx.2154 0.0472 0.0608 2.8566 2.8245 Gumbel (θ = 3) 0.4832 2.3804 0.2534 2.0344 0.d.0101 0.0492 0.8653 1.0468 0.0519 0.0336 0.5655 Gumbel (θ = 3) 1.0048 0.0577 0.0414 0.0058 0.0413 0.3749 1.i.0102 1.2279 0.0702 2.6206 Clayton (θ = 4) Approx.5553 B 0. i = 1.Table 2: Mean and MSE (×104 ) Monte Carlo results.0073 0.0095 0.8423 0.1425 Gumbel (θ = 1.0048 0.8432 0.1889 0.0987 1. M2 M1 B 0.8692 1.9156 1.0338 0.7155 0.0426 0. 000 tapered block multiplier (Mi ) repetitions with Normal multiplier random variables.8880 1.0405 0.0615 2.0484 0.2008 0.0455 0.0335 0. M2 M1 B True Approx. 0.0099 1.6381 0.0402 0.0335 0.0079 0.0390 0.2590 2.0042 0.0432 0.2027 0.4889 2.0335 0.3213 M1 0.0605 0.0343 0.0254 0.0058 0.2833 2.0338 0. and block bootstrap (B) repetitions with block length lB = 7.0617 0.4108 0.0063 0.0629 0.4901 1. 2/3) Mean MSE (2/3.0359 0. M2 M1 B Approx.3858 0.0638 0.1876 0.0599 (θ = 1) M2 0.1534 12 .0042 0.9802 0.7087 3.8340 0.0455 2.0073 0.0076 0.0042 0.1528 2.6083 2.0042 0.0078 0.0646 0.2811 1.0255 0.2074 1.0435 1.0508 0. kernel function κi .5494 1.0504 0.

0482 0. 000 tapered block multiplier (Mi ) repetitions with Normal multiplier random variables.0051 0.0370 0.5135 1.8792 1.0048 0.0052 0.9021 1. M2 M1 B Approx.0390 1.0517 1.2235 1.0348 0.6083 2.3607 0.0285 0.5) 1.0252 0.0341 0.1973 1. sample size n = 200 and 1.8279 0.0395 0.4303 1.0350 0.1027 0.0507 0.0095 1.9198 Gumbel (θ = 3) 0.0386 0.0390 0.2786 0.0366 0. 0.0356 0.2556 0.0403 0.2979 0.9782 1.0410 0. kernel function κi .0051 0.0545 0.3646 1.2339 1.4084 0.0339 0.3726 0.9937 0.6574 B 0. M2 M1 B Approx.0070 0.4150 1. M2 M1 B 0.0530 0.0409 1. For each replication.0574 0.25 Clayton Approx.8100 1.2273 0.8175 0.6811 0.0373 0.0345 0.0417 0.0958 1.2208 0.0399 0.6429 1.0291 0. 2/3) Mean MSE (2/3.0085 0.0541 0.0447 0.1996 Gumbel (θ = 1.0418 0.5319 M1 0.0766 2.0067 2.3873 0.0358 0.0346 0. and block bootstrap (B) repetitions with block length lB = 7.0058 0.2921 1.2774 1.2587 0. M2 M1 B 0.5154 2.0347 0.0384 0.0503 0.0545 0.8366 0. 2/3) Mean MSE AR(1) setting with β = 0.8797 GARCH(1.2013 1.2871 1.0608 0.9819 1.0073 0.0549 0.0272 0. 1/3) Mean MSE (2/3.0070 0.0072 0.1003 1.1686 1.0340 0.0624 0.0545 0.3858 2.0074 0.0081 0.0394 Clayton (θ = 4) Approx.3052 0.6878 13 .1662 1.0068 0.0511 0.0403 0.4093 2.0516 0.0516 0. block length lM = 4.0053 0.0479 (θ = 1) M2 0. M2 M1 B Approx.5252 0.0340 0.0304 0.0258 0.1765 0.8434 0.0377 0.0373 0.2892 0.0052 0.0067 0.0486 B 0.2459 1.0351 0.0071 0.9133 0.0051 0.0516 0.0156 0.0550 0.0518 0.0415 0.0435 1.0375 0.0591 2.0283 0.2199 0.0413 0.0352 0.0073 0.0048 0.0103 0.2301 0.0600 0.8485 0.1258 1.0350 0.8359 Gumbel (θ = 1.0506 (θ = 1) M2 0.3390 0.0500 1.0339 0.0350 0. 0.0403 0.2217 0.2200 0.0343 0.0320 0.0402 0.0101 0. we perform S = 2.0431 1.8542 0.5256 0.0354 0.0052 0.0567 Clayton (θ = 4) Approx.9582 1.0058 0.4689 1. i = 1.0056 0.0097 1.3579 2.0491 M1 0.5928 0.0362 0.5054 0. M2 M1 B Approx.2764 0.0349 0.0074 0.2888 0.0361 0.2224 1.0495 0.0084 0.2941 0.5) 1.0321 0.3118 Gumbel (θ = 3) 1.0347 0.0515 0.0500 0.0415 0. 2.0480 1.0338 0.5157 1.0608 0.0575 0. (u1 .0052 0.2346 1.3079 0.8848 1.0527 1.0403 0.3234 1.2451 1.0339 0. u2 ) (1/3.1144 1.0259 0.2290 0.8486 0.0959 1. 1) setting Clayton Approx.0357 0.3315 1. 1) settings.0081 0.0055 0.9284 0. 000 Monte Carlo replications.0484 0.Table 3: Mean and MSE (×104 ) Monte Carlo results.0521 1. AR(1) and GARCH(1.2395 0.0360 0.0520 0.1979 0. 1/3) Mean MSE (1/3.

GC (v)) works well. The block length is set to lM (n) = ⌊1. 1) processes.25n1/3 ⌋ which satisﬁes the assumptions of the asymptotic theory.or tapered block multiplier-based GC (u) and GC (v) based on s = 1. we refer to Künsch [31] as well as Bühlmann and Künsch [7]. whereas κ2 yields slightly better results in mean squared error. . 000 MC replications and report mean and mean squared error (MSE) of each method. serial dependence in the tapered block multiplier random variables is either generated on the basis of the uniform weighting scheme represented by the kernel function κ1 or the triangular weighting scheme represented by the kernel function κ2 . .(s) 14 . Since the approximation Cov(GC (u). 3. this choice corresponds to lB (n) = ⌊1. and the parameter. In the case of serially dependent observations. hence lM (100) = 3 and lM (200) = 4. and Rademacher-type sequences (wj )j∈Z indicate that diﬀerent distributions used to simulate the multiplier random variables lead to similar results. then their results do not reﬂect the changed structure adequately. i. . it can. The tapered block multiplier technique is assessed based on a sequence (wj )j∈Z of Normal random variables as introduced in Examples 2 and 3. Tables 1. Focusing . . nonparametric tests for a constant copula with a speciﬁed or unspeciﬁed change point candidate(s) consistent against general alternatives are introduced and assessed in ﬁnite samples. Hence. 000 resampling repetitions for the given set of vectors u and v. be used as a benchmark in the case of serially dependent observations. To ease comparison of the next section to the work of Rémillard and Scaillet [38]. we use Normal multiplier random variables in the following. Gamma. meaning that both methods yield 2lM -dependent blocks. resampling results indicate that the tapered block multiplier yields more precise results in mean and mean squared error than the block bootstrap (which tends to overestimate) for the considered choices of the temporal dependence structure. Xn of size n = 100 and n = 200 based on AR(1) and GARCH(1. Speciﬁed change point candidate The speciﬁcation of a change point candidate can for instance have an economic motivation: Patton [33] investigates a change in parameters of the dependence structure between various exchange rates following the introduction of the euro on the 1st of January 1999. MC results based on independent and identically distributed samples indicate that the tapered block multiplier outperforms the block bootstrap in mean and MSE of estimation.the tapered block multiplier technique and the block bootstrap method.(s) .1. . We perform 1. Regarding the choice of the kernel function. 2. Testing for a constant copula Considering strongly mixing multivariate processes (Xj )j∈Z . . The general applicability of these resampling methods however comes at the price of an increased mean squared error [in comparison to the multiplier or bootstrap with block length l = 1 as investigated in 5]. Additional MC simulations are given in Ruppert [42]: if the multiplier or bootstrap methods for independent observations are incorrectly applied to dependent observations. For detailed discussions on the block length of the block bootstrap. Both methods are used to estimate the sample covariance of block bootstrap. In the present setting we choose lB (100) = 5 and lB (200) = 7.. Results based on Normal. . and Table 3 show results for samples X1 . we suggest to test serial independence of continuous multivariate time-series as introduced by Kojadinovic and Yan [29] to investigate which method is appropriate. 3.e. lB = lM = 1. hence. . S = 2. Moreover.1n1/4 ⌋. the copula. mean results for κ1 and κ2 are similar. the kernel function.

. . . [21] and Ruppert [42]. . C2 for all j = ⌊λn⌋ + 1. . The limiting law of the test statistic depends on the unknown copulas C1 before and C2 after the change point candidate. Xj. . . These authors introduce a test for equality between to copulas which is applicable in the case of no serial dependence. The proof is given in 5.1]d 1 − λGC1 (u) − √ λGC2 (u) 2 du. respectively. . . . To estimate p-values of the test statistic. whereas GC1 and GC2 represent dependent identically distributed Gaussian processes. . . . The test statistic is deﬁned by Tn (λ) = ⌊λn⌋(n − ⌊λn⌋) C⌊λn⌋ (u) − Cn−⌊λn⌋ (u) n 2 du (20) [0. . the test statistic Tn (λ) converges weakly: Tn (λ) −→ T (λ) = w. Xj. Weak convergence of Tn (λ) under strong mixing is established in the following: Theorem 4. d and Uj ∼ C2 . d.i for all j = ⌊λn⌋ + 1. . . . √ [0. . . we split the sample into two subsamples: X1 . . .i ∼ F2. 1] : H0 : Uj ∼ C1 for all j = 1. . . n. for details we refer to Rémillard and Scaillet [38]. then Tn (λ) → ∞ in probability under H1 . . 1]d such that √ I 1 − λC1 (u) − √ λC2 (u) 2 du > 0. . we use the tapered block multiplier technique described above. . U⌊λn⌋ and U⌊λn⌋+1 . . .on stock returns. . n. Suppose that C1 and C2 satisfy Condition (3). . Constancy of the structure of association is initially investigated in the case of a speciﬁed change point candidate indexed by ⌊λn⌋ for λ ∈ [0. . such as a measure of multivariate association. To test for a change point in the structure of association after observation ⌊λn⌋ < n. . . . . . Xn . ⌊λn⌋. Un with empirical copulas C⌊λn⌋ and Cn−⌊λn⌋ . ⌊λn⌋. H1 : Uj ∼ C1 for all j = 1. . whereas C1 and C2 are assumed to diﬀer on a non-empty subset of [0. on 15th of September 2008 is assessed in Gaißer et al. the copula itself is in the focus of this study. is invariant. 1]d . we (separately) estimate U1 . Further assume a speciﬁed change point candidate indexed by ⌊λn⌋ for λ ∈ [0. . Xn . . X⌊λn⌋ and X⌊λn⌋+1 . . Under the null hypothesis C1 = C2 . Whereas these references investigate change points in functionals of the copula. i = 1. drawn from a process (Xj )j∈Z satisfying the strong mixing condition αX (r) = O(r −a ) for some a > 1. multivariate association between major S&P global sector indices before and after the bankruptcy of Lehman Brothers Inc. . .i for all j = 1. i = 1. Xn of a process (Xj )j∈Z . . 1] such that Uj ∼ C1 . . This approach permits to analyze changes in the structure of association even if a functional thereof. n. Suppose we observe a sample X1 . . . . .i ∼ F1.1]d and can be calculated explicitly. . Consider observations X1 . . . . Assuming the marginal distribution functions to be unknown and constant in each subsample. Notice that if there exists a subset I ∈ [0. 15 .

.n−⌊λn⌋ (u) n 2 du. Consider observations X1 . . we consider observations from strictly stationary AR(1) processes with autoregressive coeﬃcient β ∈ {0. . . Xj. .9. 1] denote a speciﬁed change point candidate such that Uj ∼ C1 . The change point after observation ⌊λn⌋ = n/2 (if present) only aﬀects the parameter within each family: the copula C1 is parameterized such that τ1 = 0. .5} and GARCH(1. .25. A set of S = 2. Xn drawn from a process (Xj )j∈Z . . n. Notice that dependence between the subsamples is captured since the two sets of tapered block multiplier random variables are dependent by construction. S. .i ∼ F1. serially independent observations are simulated. We apply the MC algorithm introduced in Section 2. . j = 1. d and Uj ∼ C2 . 000 Normal tapered block multiplier random variables is simulated. . (s) whereas T M (λ) is an independent copy of T (λ). . .3 to generate samples of size n = 100 or n = 200 from bivariate processes (Xj )j∈Z . . . Moreover. Results of 1. p-values can be estimated by counting the number of cases in which the simulated test statistic based on the tapered block multiplier method exceeds the observed one. . (22) Hence. . Finite sample properties. . A3(b) with block length l(n) → ∞. . Notice that the result of Corollary 1 is valid both for tapered block multiplier processes satisfying A3 and A3b.1]d n − ⌊λn⌋ M (s) GC1 . 1) processes which are parameterized as in Equations (18) and (19). . . Assume that the process satisﬁes the strong mixing assumptions of Theorem 3.s. A2. Appendix B]. i = 1. Suppose that C1 and C2 satisfy Condition (3). Xn almost surely holds under the null hypothesis as well as under the alternative: M Tn (s) (λ) −→ T M (λ). . X⌊λn⌋ and X⌊λn⌋+1 . . 0.i for all j = 1.Corollary 1. Size and power of the test in ﬁnite samples are assessed in a simulation study. ξn denote samples of a tapered block multiplier process (ξj )j∈Z satisfying A1. The univariate processes are either linked by a Clayton or a Gumbel copula. As a base scenario. . Deﬁne Tn M Tn (s) (λ) M (s) (s) (s) (λ) based on Equation (12): := [0. . ⌊λn⌋. ξ a. . whereas lM (100) = 3 and lM (200) = 4 are chosen for the block length. i = 1. . .2. . Xj. .i for all j = ⌊λn⌋ + 1. . An approximate p-value for Tn (λ) is provided by 1 S S M (s) 1 s=1 Tn M (s) (λ)>Tn (λ) .i ∼ F2. . . 0. where l(n) = O(n1/2−ǫ ) for 0 < ǫ < 1/2. . ⌊λn⌋ and ⌊λn⌋ + 1. . . . The test based on the tapered block multiplier technique with kernel function κ2 leads to a rejection quota under the null hypothesis which is close 16 . . respectively.⌊λn⌋ (u) − n ⌊λn⌋ M (s) GC2 . n enter the ﬁrst and the second summand of the Cramér-von Mises functional. let ξ1 . . . respectively. . (21) whereas ξj . d.2. Weak convergence conditional on X1 . . . The integral involved in Tn (λ) can be calculated explicitly [see 37. the copula C2 such that τ2 = 0. 000 MC replications based on n = 100 and n = 200 observations are shown in Tables 4 and 5. . Let ⌊λn⌋ for λ ∈ [0. . For s = 1. . . . The proof is given in 5. .

994 0.292 0.066 AR(1) setting with β Clayton l = 1 0.086 l = 3 0.236 0.569 0.827 0.000 1. n = 100.218 0.569 0.978 0. For comparison.881 0.000 1.000 1.257 0.598 0. The obtained results indicate that the uniform kernel function κ1 leads to a more conservative testing procedure since the rejection quota is slightly higher. The eﬀects of diﬀerent types of dependent observations diﬀer largely in the ﬁnite sample simulations considered: GARCH(1.999 GARCH(1. setting Clayton l = 1 l=3 Gumbel l = 1 l=3 0.836 0.036 0. results for n = 200 and kernel function κ1 are shown in Ruppert [42]. we also show the results if the test assuming independent observations (i. 1) processes do not show strong impact.573 0.876 0.976 0.124 = 0.983 0.093 0.109 0.541 0.000 0.976 0. Results are based on 1.047 Gumbel l = 1 0.980 0.568 0.592 0.000 1. The power of the test under the alternative hypothesis is best in the case of no serial dependence as is shown in Table 5.077 to the chosen theoretical asymptotic size of 5% in all considered settings. 000 tapered block multiplier repetitions.000 1.050 0.000 1. the observed size of the test in these cases can be more than twice the speciﬁed asymptotic size. we observe that the approximation of the asymptotic size based on the tapered block multiplier improves in precision with increased sample size.Table 4: Size and power of the test for a constant copula with a speciﬁed change point candidate.254 0.986 0.000 1.089 0. the test based on the multiplier technique with block length l = 1) is erroneously applied to the simulated dependent observations.053 l = 3 0. comparing the results for n = 100 and n = 200.730 0.722 0. If serial dependence is present in the sample then more observations are required to reach the power of the test in the case of serially independent observations.d.000 1.7 0.246 0.110 0.065 AR(1) setting with β Clayton l = 1 0.111 0.594 0.968 0.5 0.549 0.482 0.000 0.000 0.154 0.462 0.105 = 0.985 0. 000 Monte Carlo replications.588 0.078 Gumbel l = 1 0.998 1.i. and asymptotic signiﬁcance level α = 5%.285 0.000 1.120 0. S = 2. 17 .285 0.5 0.037 l = 3 0.868 0.999 0. τ2 i.999 0.040 0.110 0.172 0.964 0.866 0.877 0.840 0.798 0.999 1.836 0.983 0.100 l = 3 0.928 0.115 0.303 0.295 0. The tapered block multiplier-based test also performs well under the alternative hypothesis and its power increases with the diﬀerence τ2 − τ1 between the considered values for Kendall’s τ.612 0.2 0.000 0.25 0. Results indicate that the test overrejects if temporal dependence is not taken into account.051 l = 3 0.578 0.998 1.298 0.977 0.547 0.308 0.106 0. kernel function κ2 ..9 1.816 0. For comparison.907 0.849 0.4 0.114 0. both under the null hypothesis as well as under the alternative.063 0.3 0.000 1.000 0.000 1.000 1.236 0.000 0. whereas AR(1) processes lead to considerable distortions.117 0. Due to the fact that the size of the test is approximated more accurately based on the kernel function κ2 . 1) setting Clayton l = 1 0.109 0.e.8 1. in particular regarding the size of the test.956 0.276 0.999 1.998 0.550 0. its use is recommended.998 0.047 Gumbel l = 1 0.313 0.6 0.000 1.000 1.818 0.978 0.975 0.868 0.315 0.969 0.043 l = 3 0.847 0.

.894 0.000 1.989 0.000 1.164 0.6 0.162 0.i.000 1.000 1.000 1.7 0.490 0.169 0.160 0.000 1. .000 1. .000 1. .2.237 0. Intuitively.g. . testing with unspeciﬁed change point candidate(s) is less restrictive but a tradeoﬀ is to be made: the tests introduced in this section neither require conditions on the partial derivatives of the underlying copula(s) nor the speciﬁcation of change point candidate(s).000 1. d.992 0.499 0.958 0. its start (and end) often are subject to uncertainty: Rodriguez [41] studies changes in dependence structures of stock returns during periods of turmoil considering data framing the East Asian crisis in 1997 as well as the Mexican devaluation in 1994.552 0.4 0. 1) setting Clayton l = 1 0.000 1.541 0.866 0.052 l = 4 0.000 1. .000 1.5 0.999 0.e. 000 Monte Carlo replications. n = 200.748 0.521 0.000 1.057 AR(1) setting with β Clayton l = 1 0.136 = 0.000 0.000 1.050 AR(1) setting with β Clayton l = 1 0. These objects of investigation are well-suited for nonparametric methods which oﬀer the important advantage that their results do not depend on model assumptions.000 1. τ2 i.000 1.174 = 0. S = 2.895 0.000 3.998 1.872 0.873 0.227 0.515 0.000 1.000 1.180 0.903 0.154 0.825 0.523 0.5 0.107 l = 4 0. whereas no change point candidate is given a priori.867 0.000 1.000 1.000 1. with particular emphasis on nonparametric methods.991 0.908 0. e.975 0.000 0.047 l = 4 0.979 0.497 0.503 0.813 0.000 1.000 1.535 0..000 1.396 0.000 1.994 1.149 0.401 0.994 0. 15].d.057 Gumbel l = 1 0.8 0.040 l = 4 0. Xn denote a sample of a process (Xj )j∈Z with strictly stationary univariate 18 .000 1. Xj.25 0. .000 1..957 0.524 0.989 0.000 1. kernel function κ2 .905 0. Even if a triggering event exists.123 0.855 0.046 l = 4 0.i ∼ Fi for all j ∈ Z and i = 1.9 0.000 0.989 0.992 1.137 0.996 1.047 0.993 0.000 1.525 0. . i. Let X1 .877 0.000 1.2 0.000 1.000 1.000 1.3 0.000 GARCH(1.055 0. The motivation for this test setting is that only for a subset of the change points documented in empirical studies. Results are based on 1.172 0.063 0.498 0.000 1.169 0. yet they are based on the assumption of strictly stationary univariate processes.000 1.043 0. and asymptotic signiﬁcance level α = 5%.992 0. we refer to the monographs by Csörgő and Hórvath [12] and.122 l = 4 0.496 0.770 0.058 Gumbel l = 1 0.000 1.000 1.180 0. a priori hypothesis such as triggering economic events can be found [see.000 1.000 1.056 Gumbel l = 1 0. 000 tapered block multiplier repetitions. setting Clayton l = 1 l=4 Gumbel l = 1 l=4 0. For a general introduction to change point problems of this type.899 0.000 1. The general case: unspeciﬁed change point candidate The assumption of a change point candidate at speciﬁed location is relaxed in the following. to Brodsky and Darkhovsky [3].988 0.998 1.Table 5: Size and power of the test for a constant copula with a speciﬁed change point candidate.059 0.

The functional used to deﬁne the test statistic given in Equation (20) of the previous section is thus multiplied by the weight function ⌊ζn⌋(n − ⌊ζn⌋)/n which assigns less weight to change point candidates close to the sample’s boundaries. . U⌊ζn⌋ and U⌊ζn⌋+1 .. . u) and a linear combination of the sequential and the standard empirical process. 1]d . < λP ∈ [0... . u) − min u∈{Uj }j=1. < λP < λP +1 = 1 such that Uj ∼ Cp for all j = ⌊λp−1 n⌋ + 1. . .i ∼ Fi for all j ∈ Z and i = 1. 36]: Sn (ζ. .margins. . . . . formally H1 : there exist 0 = λ0 < λ1 < . For any change point candidate ζ ∈ [0. . n n j=1 j=1 (26) for all ζ ∈ [0.. P + 1. Xn . C(u) = Cp (u) for all p = 1.. . . . 1]. . We consider three alternative test statistics which pick the most extreme realization within the set Zn of change point candidates: 1 Tn = max ζ∈Zn [0. . whereas. . u) under the null hypothesis which is given next. . . . We refer to Hórvath and Shao [26] for an investigation of these statistics in a univariate context based on an independent and identically distributed 3 sample.e. u) . . (24) 2 Tn = max ζ∈Zn u∈{Uj }j=1. The following test statistics are based on a comparison of the resulting empirical copulas: Sn (ζ. . under the alternative hypothesis. Kuiper (K). (n − 1)/n}. d. CP +1 are assumed to diﬀer on a nonempty subset of [0. (25) which are the maximally selected Cramér-von Mises (CvM). .n (23) Sn (ζ. Under the null hypothesis of a constant copula. P + 1. i.n 3 Tn = max ζ∈Zn max u∈{Uj }j=1. . Deﬁne Zn := {1/n. .. . 1]. . Un . respectively.. . u)| . In this setting. . and KolmogorovSmirnov (KS) statistic. .. . . .n |Sn (ζ.6 in 12. . we split the pseudoobservations in two subsamples U1 . ⌊λp n⌋ and p = 1. Xj. We establish tests for the null hypothesis of a constant copula versus the alternative that there exist P unspeciﬁed change points λ1 < . .e. H0 : Uj ∼ C1 for all j = 1. . . u)2 dCn (u).. Tn is investigated in Inoue [27] for general multivariate distribution functions under strong mixing conditions as well as in Rémillard [36] with an application to the copula of GARCH residuals.. . u) = ⌊ζn⌋(n − ⌊ζn⌋) {C⌊ζn⌋ (u) − Cn−⌊ζn⌋ (u)} n3/2 ⌊ζn⌋ n 1 ⌊ζn⌋ =√ 1{Uj ≤u} − C(u) − 1{Uj ≤u} − C(u) . 1]d . 19 . i. . 1] and u ∈ [0. 26. . Un based on X1 . u) := ⌊ζn⌋(n − ⌊ζn⌋) C⌊ζn⌋ (u) − Cn−⌊ζn⌋ (u) n3/2 for all u ∈ [0.. . . C1 . . notice the following relation between Sn (ζ. Equation (26) is the pivotal element to derive the asymptotic behavior of Sn (ζ.. .1]d Sn (ζ. . . max Sn (ζ.. n. . 1]d . . we estimate the pseudo-observations U1 . more precisely a (d + 1)-time parameter tied down empirical copula process [see Section 2..

0≤ζ≤1 u∈[0. u)}| . This in particular implies weak convergence of the 1 2 3 test statistics Tn . u) − ζBC (1. .i ∼ Fi for all j ∈ Z and i = 1. The established limiting distributions of the test statistics under the null hypothesis can be estimated based on an application of the tapered block multiplier technique to Equation (26): assumptions of Theorem 3. . where BC (ζ. u) −→ BM (ζ. . . u) denotes a (centered) C-Kiefer process. . ξn denote samples of a tapered block multiplier process (ξj )j∈Z satisfying A1. . . u) − ζBC (1. .Theorem 5. and Tn : 1 Tn −→ sup 2 Tn −→ sup 3 Tn −→ sup w. Cov 1{U0 ≤u} . Xn of a strictly stationary process (Xj )j∈Z satisfying the strong mixing condition αX (r) = O(r −4−d{1+ǫ} ) for some 0 < ǫ ≤ 1/4. u). . Xn of a process (Xj )j∈Z which satisﬁes Xj. For independent and identically distributed observations X1 . . Xn . u) − ζBM (1. . d. . BC (0. For s = 1. . . 1] and u. S. inf {BC (ζ. u) := √ ξj 1{Uj ≤u} − Cn (u) (27) n j=1 n ⌊ζn⌋ (s) − ξj 1{Uj ≤u} − Cn (u) n j=1 Corollary 2. . Xj. u) = BC (ζ. . w. A3b with block length l(n) → ∞.i ∼ Fi for all j ∈ Z and i = 1. u) −→ BC (ζ. where l(n) = O(n1/2−ǫ ) for 0 < ǫ < 1/2 and deﬁne: ⌊ζn⌋ 1 (s) M (s) Sn (ζ. 1]d+1 ). BC (ζ2 . u) holds in ℓ∞ ([0. 2. . ∞ holds: M Sn (s) (ζ. . Consider a sample X1 .s.1]d {BC (ζ. . 1]d . weak convergence conditional on X1 . 0) = BC (ζ. The proof is given in 5. . .1]d sup |{BC (ζ. Hence. Tn . d. u)} − u∈[0. u) − ζBC (1. 1]d . 1]d+1 ). u). v)) = min(ζ1 . the test is consistent against general alternatives. w. let ξ1 . . 20 . u)} . A2. ∞ : Sn (ζ. whereas Uj ∼ C. C C ξ a. 0≤ζ≤1 [0. . u)}2 dC(u). v ∈ [0. . . . Further assume the process to fulﬁll the strong mixing (s) (s) for all u ∈ [0. u) − ζBC (1. . viz. . .1]d 0≤ζ≤1 u∈[0. 1{Uj ≤v} for all ζ1 . Under the null hypothesis of a constant copula. . u) − ζBC (1. u). Xn almost surely in ℓ∞ ([0. Weak convergence of Sn (ζ. i Direct calculations yield Tn → ∞ for i = 1. Consider a sample X1 . . ζ2 ) j∈Z w. ζ2 ∈ [0. . .1]d sup {BC (ζ. . 3 under H1 . 1) = 0 with covariance structure Cov(BC (ζ1 . a detailed investigation of C-Kiefer processes is given in Zari [52].

. the change point location is assessed under the assumption that there is at most one change point. the empirical copula of X⌊λn n⌋+1 . . the latter result is only valid if centered multiplier random variables are applied.25 in each dimension. Finite sample properties.whereas the limit is an independent copy of BC (ζ. For simplicity. whereas C1 and C2 are assumed to diﬀer on a non-empty subset of [0. . . ⌊λn⌋. The p-values of the test statistics are estimated as shown in Equation (22). 3. If present. the empirical copula of X1 . The proof is given in 5. . indicating a direction of future research to estimate locations of multiple change points in the dependence structure. . (29) for all u ∈ [0. The latter coincides with C2 if and only if the change point is estimated correctly. ∞ to a tight limit holds. the superindex i is dropped in the following if no explicit reference to the functional is required. Under the alternative hypothesis. 2. then the change point is located after observation ⌊λn⌋ = n/2 and only aﬀects the parameter within the investigated Clayton or Gumbel families: the 21 . . For ease of exposition.. . X⌊λn n⌋ is an estimator of the unknown mixture distribution given by [for an analogous estimator related to general distribution functions. u). u) − ζBC (1. . . n (28) for all u ∈ [0. An estimator for the location of the change point λi . Bai [1] iteratively applies the setting considered above to test for multiple breaks (one at a time). 1]d .1 (u) = 1{λn ≤λ} C1 (u) + 1{λn >λ} λ−1 λC1 (u) + λn − λ C2 (u) . weak convergence conditional on X1 . Given a (not necessarily correct) change-point estimator λn . On the other hand. Xn almost surely in ℓ∞ ([0. . i = 1. 1] such that Uj ∼ C1 for all j = 1. The former shows results for n = 400 observations from serially independent as well as strictly stationary AR(1) processes with autoregressive coeﬃcient β = 0. . is obtained replacing max functions by n arg max functions in Equations (23). (24). 1]d+1 ). . . . if assumption A3b is satisﬁed. 1]d . Size and power of the tests for a constant copula are shown in Tables 6 and 7. n. i. and (25). . see 9]: Cλn . Consistency of λn follows from consistency of the empirical copula and the fact that the diﬀerence of the two mixture distributions given in Equations (28) and (29) is maximal in the case λn = λ. C2 for all j = ⌊λn⌋ + 1. .e. 1]d . The alternative hypothesis H1b of at most one unspeciﬁed change point is considered. Remarkably. . In this case. . Xn is an estimator of the unknown mixture distribution given by Cλn . the alternative hypothesis can as well be formulated: H1b : ∃λ ∈ [0. . .2 (u) =1{λn ≤λ} (1 − λn )−1 (λ − λn )C1 (u) + (1 − λ) C2 (u) + 1{λn >λ} C2 (u). An application of the continuous mapping theorem proves consistency of the tapered block multiplier-based tests. The latter coincides with C1 if and only if the change point is estimated correctly.

421 0.073 0.880 0.507 0.716 0.644 0.079 0.642 0.504 0.349 0.913 0.496 0.031 0.098 0.490 0.735 0.406 0.287 0.046 K 0. In the case of serially dependent observations sampled from AR(1) processes with β = 0. The estimated location of the change point.515 0. is close to its theoretical value.997 0.061 0.694 0.493 0.507 0.053 0.548 0.312 AR(1) setting with β = 0. we observe that the tapered block multiplier works similarly well as the standard multiplier (i.078 0.040 0.2.495 0.103 0.043 0.25 Clayton l = 1 CvM 0.503 0.070 0. Results are based on 1.294 0.873 0.9 λn 0.495 0.745 0.084 0.070 0.084 0.506 0.315 0.050 0.506 0.056 0.306 0.246 0.052 0.910 0.056 0.516 0.503 0.055 0.707 0.519 0.089 0.046 0. block length lM (400) = 5.026 0.375 0.506 0.272 0.084 0. additionally.969 1.096 0.6 0.884 0.342 0.510 0.496 0.903 0.913 0.504 0.343 0.905 0.041 0.056 0. 000 tapered block multiplier simulations based on Normal multiplier random variables.881 0.139 KS 0.495 0.185 K 0.504 0. Moreover.167 l = 5 CvM 0.074 0.507 0.503 0.036 0.746 1.251 0. lM = 1): the asymptotic size of the test.390 0.649 0.496 0.9}.080 0.055 0.506 0.457 copula C1 is parameterized such that τ1 = 0.25. 000.994 0.i.083 0.040 KS 0.054 0.939 0.065 0.509 0.102 0. setting Clayton l = 1 0. chosen to be 5%.493 0.062 0.243 0.047 0.074 0.080 0.739 0.547 0.337 0.035 0.2 0.847 0.771 0.697 0.456 0.177 l = 5 CvM 0.295 0.437 0.079 0.282 0.2.055 0.954 0.9 l=5 Gumbel l=1 l=5 CvM K KS CvM K KS CvM K KS CvM K KS 0.228 0.051 0.349 0.627 0.217 0.319 0.061 0. the estimated change point location λn .497 0.487 0. we ﬁnd that the observed size of the test strongly deviates from its nominal size (chosen to be 5%) if serial dependence 22 . 0.187 K 0.506 0.535 0.443 0.509 0.072 0.901 1.706 0.086 0.519 0.494 0.304 0.504 0.095 0. 000 Monte Carlo replications.276 0.039 KS 0.871 0.093 0.409 0. its standard deviation σ (λn ) as well as its mean squared ˆ error MSE(λn ) are decreasing in the diﬀerence τ2 − τ1 .253 0.506 0. λn .512 0.573 0. is well approximated and its power increases in the diﬀerence τ2 − τ1 .071 0.495 0.509 0.793 0.536 0.487 0.562 0.9 M SE λn 0.495 0.974 0.518 0.075 0.056 0.e.Table 6: Size and power of tests for a constant copula with unspeciﬁed change point can- didate.067 1. and M SE(λn ) × 102 ˆ are reported..052 0.513 0.541 0.116 0. σ (λn ).474 0.949 0. 000 MC repetitions.075 0.519 0.291 0.040 Gumbel l = 1 CvM 0. n = 400.058 0.6.992 0.d. kernel function κ2 .049 0.846 0.494 0.387 0.048 0.073 0.310 0.497 0.991 0.074 0. S = 1.645 0.079 0. 0.509 0. the copula C2 such that τ2 ∈ {0.487 0.566 0.506 0.496 0.6 0. and α = 5%. In the case of independent and identically distributed observations.289 0.9 σ λn ˆ 0.086 0.119 0.983 0. We consider S = 1. size/power τ2 i.496 0.123 KS 0.504 0.050 0.6 0.499 0.372 0.511 0.502 0.6 0.042 K 0.556 0. kernel function κ2 .576 0.489 0.878 0. and report mean as well as mean squared error of 1.

953 1.384 0.293 0.503 0. 23 .510 0.497 0.059 0.043 0.122 0.046 KS 0.055 0.084 0.965 0.497 0. the test is most powerful in many settings.780 0.734 0.052 0. λn .089 0.507 0.122 KS 0.533 0.199 0.428 0.061 0.509 0.681 0. the estimated change point location λn .973 0.463 0.039 0.823 0.505 0.053 0.686 0.062 0.182 l = 6 CvM 0.6 0.505 0.350 0.507 0.029 0.000 0.d.059 0.070 0.497 0.519 0. and M SE(λn ) × 102 ˆ are reported.091 0.6 0.838 0.090 0.997 1.959 1.044 0.273 0.509 0.998 0.506 0.086 0.038 0. the Kuiper-type statistic performs best in mean and in mean squared error.087 0.699 0.9 λn 0.999 0.106 0.000 0.505 0.i.050 0.033 0.049 0.036 0.051 0.585 0. σ (λn ).901 0.065 0.426 0. and Tn .335 0.048 0.998 0.000 0.504 0.9 σ λn ˆ 0.096 0.721 0.503 0.359 0.2 0. size/power τ2 i.508 0.037 0.504 0.243 0.000 0.496 0.033 0.497 0.879 0.505 0.512 0.775 0.998 0.046 0.029 0.060 0. 000 Monte Carlo replications.065 0.142 0.062 Gumbel l = 1 CvM 0.914 0.507 0.502 0.714 0. 1 2 3 Comparing the tests based on statistics Tn .496 0.141 KS 0.076 0. Standard deviation and mean squared error of the estimated location of the change point.000 0.707 0.974 0.520 0.505 0. Moreover.032 0.498 0.724 0.503 0.056 0.169 l = 6 CvM 0.489 0. Likewise.321 0.477 0.076 0.206 0. decrease in the diﬀerence τ2 − τ1 .508 0. The test based on the tapered block multiplier with block length lM (400) = 5 yields rejection quotas which approximate the asymptotic size well in all settings considered.756 0.355 0. These results are strengthened in Table 7 which shows results of MC simulations for sample size n = 800 and block length lM = 6 : the tests based on the tapered block multiplier perform well in size. and α = 5%.9 l=6 Gumbel l=1 l=6 CvM K KS CvM K KS CvM K KS CvM K KS 0.493 0.510 0.232 is neglected and the block length lM = 1 is used: its estimates reaching up to 18.039 0.031 0.069 0.156 AR(1) setting with β = 0. Tn . n = 800.063 0.207 K 0.034 0.054 0.135 0.695 0.089 0.083 0.000 0.495 0.494 0.068 0.047 0.079 0.514 0.7%.034 0.032 0.041 0. kernel function κ2 .036 0.372 0. their power improves considerably with the increased amount of observations and the change point location is well captured.411 0. setting Clayton l = 1 0.939 1.000 0.712 0.527 0.805 0.042 0.672 0.488 0.081 0. additionally.966 0.503 0.9 M SE λn 0.623 0.097 0.495 0.490 0.065 K 0.496 0.496 0.999 0. S = 500. we ﬁnd that the test based on the Kuiper-type statistic performs best: results indicate that the nominal size is well approximated in ﬁnite samples.273 0.496 0.803 0.506 0.173 0.510 0. Results are based on 1.584 0.177 0.072 0.045 0.113 0.992 1.106 0.138 0.760 0.Table 7: Size and power of tests for a constant copula with unspeciﬁed change point candidate.052 K 0.521 0.841 0.500 0.149 0.218 0.500 0.248 0.057 KS 0.494 0.052 0.6 0.049 0.670 0.6 0.25 Clayton l = 1 CvM 0.000 0.037 0.054 0.037 0.999 1.057 0.184 K 0.506 0.995 1.508 0.506 0.688 0.998 1. with regard to the estimated location of the change point.045 0.508 0.500 0.

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(2011): Weak convergence of empirical copula processes under nonrestrictive smoothness assumptions. Springer... T.. Tech. 37(1). SFB 823. and denote their joint empirical distribution function by Fn . d. Université Paris 6. . 229–231.. Bernoulli. 415–427. D. D. 209–235. Lemma 1. Publications de l’Institut de Statistique. . Berlin Heidelberg. M. W. [52] Zari. Université Paris 8. Bücher [4]. A. L. Vogel. R. ..6 establishes the following result which is pivotal to conclude the proof: 27 . J. W. Notice that the copula can be obtained by a mapping Υ : Υ : DΥ → ℓ∞ ([0. Tech. R. Gaißer. van Kampen. J. Under the strong mixing condition αX (r) = O(r −a ) for some a > 1. M. J. A. [49] van der Vaart. . 25-26 September 2009. forthcoming... Wellner. O. integral transformations allow to simplify the exposition while obtained asymptotic results remain valid for general continuous marginal distribution functions. Blumentritt. i = 1. [44] Scaillet. Ph. . −1 −1 F → Υ(F ) := F F1 . P. Consider integral transformations Uj. . Springer Verlag. Durante. B. (2010): Contribution à l’étude du processus empirique de copule. . pp. (2005): A Kolmogorov-Smirnov type test for positive quadrant dependence. w.. 5.Proceedings of the Workshop held in Warsaw. [46] Segers. 912–923. Copula theory and its applications . [47] Sklar. The proof is established as in Gaißer et al. Insur.[43] Rüschendorf.. 1]d ) : √ n Fn (u) − F (u) −→ BF (u). TU Dortmund. 36/10. Rio [40] proves weak convergence of the empirical process in the space ℓ∞ ([0. Statist. Dehling. 33(3).D. [45] Schmid. [51] Wied. . [48] van den Goorbergh. T. 16/11. Canad.. . H. Lemma 2. D. (eds. [50] van Kampen. 101–114. C. As exposed in detail by Fermanian et al.. M. (2005): Bivariate option pricing using dynamic copula models. .. pp. Ruppert. Appendix: Proofs of the results Proof of Theorem 1. (2010): A nonparametric constancy test for copulas under mixing conditions. J.. pp. (2010): Copulabased measures of multivariate association. n. Ann. in: Jaworski. Econ. Härdle. Wied. pp. thesis.. Math. W. (2011): A ﬂuctuation test for constant spearman’s rho. [18]. Rychlik. Schmidt. T. Rep.). TU Dortmund. J. [21]...i := Fi (Xj. Fd . F. Werker. A. 4(5). Proof of Theorem 4 while applying a result on Hadamard-diﬀerentiability under nonrestrictive smoothness assumptions obtained by Bücher [4]. . 1]d ). (1976): Asymptotic distributions of multivariate rank order statistics. . M. S. SFB 823. Statist. New York. (1996): Weak convergence and empirical processes. Rep. pp.i ) for all j = 1. (1959): Fonctions de répartition à n dimensions et leur marges. Genest.. F.

. . whereas Di F (u).. . Proof of Theorem 2. . an application of the functional delta method for the bootstrap [see. ∞ ) : √ n Υ Fn (u) − (Υ (F )) (u) −→ Υ′ (BF ) (u) . for all u ∈ [0. Bühlmann [6]. an application of the functional delta method yields weak convergence of the transformed empirical process in (ℓ∞ ([0. n and i = 1. d. . H a. . . M ¯ 1Uj ≤u} − Cn (u) −→ BC (u). 49] yields weak convergence of the transformed empirical process conditional on X1 . 1]d ). . 1]d ). recall that the empirical copula as deﬁned in Equation (2) and the map Υ share the same asymptotic behavior. . .s. .Lemma 2. e. ∞ : √ B n Fn (u) − Fn (u) −→ BF (u). . Then Υ is Hadamard-diﬀerentiable at C tangentially to D0 := D ∈ C [0. 1]d |D is grounded and D(1. . Based on Hadamard-diﬀerentiability of the map Υ as established in the proof of Theorem 1. proof of Theorem 3. . . Xn almost surely in D([0. . .i := Fi (Xj. i = 1. . Xn almost surely in the space D([0. Xn in probability in (ℓ∞ ([0. Hence. . 1) = 0 The derivative at F in D ∈ D0 is represented by d Υ′ (D) (u) = D(u) − F i=1 Di F u(i) D(u(i) ). 1]d ) of càdlàg functions equipped with the uniform metric . . To conclude the proof.g. .1]d Υ Fn (u) − Cn (u) = O 1 n . F H P To conclude the proof. ∞ ) : √ n B Υ Fn (u) − Υ Fn (u) −→ Υ′ (BF ) (u) . notice that sup u∈[0. . . .i ) for all j = 1. . . d is deﬁned on the basis of Equation (4). d and proves the bootstrapped empirical process to converge weakly conditional on X1 . Bühlmann [6]. ∞ : √ 1 n n n j=1 ξj a. . . Proof of Theorem 3. Based on integral transformations Uj. 1]d .2 establishes weak convergence of the tapered block empirical process conditional on a sample X1 .i ) for all j = 1. . . Assume that F satisﬁes Condition (3). . . 1]d ). . n and i = 1. . F w. .i := Fi (Xj.s. .1 considers integral transformations Uj. proof of Theorem 3. . . ξ ξ 28 . .

n tribution functions as well as the copula are unknown.i ≤F −1 (ui )} − ui = sup i ui ∈[0.1]d sup |Cn (u) − C(u)| → 0.8 in Kosorok [30]. 1]d ) × C. . 1]d ). ui . Consider √ √ √ n Cn (u) − CN (u) = n Cn (u) − C(u) − n CN (u) − C(u) √ √ √ n w. . . Functions in D([0. 1. where BM denotes the tapered block multiplier process in the case that the marginal disC. . reside in D([0. ∞ ) (and more generally in any other function space of which D([0. ∞ ) is then equivalent to convergence in (ℓ∞ ([0. Fd Fd (ud ) = n ¯ i n ξ j=1 i=1 −1 −1 = BM F1 F1 (u1 ) . . Using an argument of Rémillard and Scaillet [38]. . . . A2.n C ℓ∞ ([0.1] Fi Fi−1 (ui ) − ui → 0 w. . A3. The result is derived by an application of Slutsky’s Theorem and consistent (covariance) estimation.n . BM ) −→ (BC . 1]d ) ⊂ ℓ∞ ([0. It follows that sup ui ∈[0. we have in particular u∈[0. We conclude that (BC.1] 1 n n j=1 1{Xj. 1]d ). hence. are bounded in consequence. 1]d . 1]d ). 1.under assumptions A1. . convergence in (D([0. Fd Fd (ud ) C. 1]d ). = n Cn (u) − C(u) − √ N CN (u) − C(u) −→ GC (u). Proof of Lemma 1. . . 1]d ). . which implies D([0. . for all i = 1. 29 . 1]d ) are deﬁned on the closed set [0. N CN (u) − C(u) converges to a tight centered Gaussian process in (ℓ∞ ([0. N √ √ since the factor n/ N tends to zero for n(N ) → ∞ and n(N ) = o(N ). It remains to prove that the limiting behavior of the tapered block multiplier process for independent observations is unchanged if we assume the marginal distribution functions to be unknown. Following Theorem √ 1. 1).n ¯ n ξ j=1 i=1 1 n d ξ √ j −1 −1 1{Uj. Following Lemma 7.i ≤u} − Cn (u) BM (u) = n C. Notice that the tapered multiplier empirical copula process as well as its limit are rightcontinuous with left limits. . d as n → ∞. ∞ ). Consider u(i) = (1. . . .n . . consider the following relation between the tapered block multiplier process in the case of known and unknown marginal distribution functions 1 n d ξ √ j 1{Uj. BM ) in ℓ∞ ([0. . .i ≤Fi (F −1 (ui ))} − Cn F1 F1 (u1 ) . 1]d ). provided that the process is strongly mixing with given rate. 1]d ) is a subset and which further contains the tapered multiplier empirical copula process as well as its limit). . Under the given set of assumptions. .

⌊λn⌋ (u).⌊λn⌋ (u). 1{Uj ≤v} . GC2 . To ease exposition. d Di C2 (v)BC2 v(i) i=1 in (ℓ∞ ([0. indices within the sample X1 . ∞ ). 1]d ).n−⌊λn⌋ (v) := n − ⌊λn⌋ Cn−⌊λn⌋ (v) − C2 (v) −→ GC2 (v) := BC2 (v) − w.2].n−⌊λn⌋ (v) := Cov 1{Ui ≤u} . GC2 .1 and Hall and Heyde [25].⌊λn⌋ (u) := ⌊λn⌋ C⌊λn⌋ (u) − C1 (u) −→ GC1 (u) := BC1 (u) − in (ℓ∞ ([0. (32) i=1 j=−⌊λn⌋+1 n−⌊λn⌋ n−⌊λn⌋ Cov GC2 . ∞ ). whereas Cov GC1 . GC1 .⌊λn⌋ (v) Cov GC1 . GC1 .n−⌊λn⌋ (v) := 1 ⌊λn⌋(n − ⌊λn⌋) i=−⌊λn⌋+1 1 ⌊λn⌋(n − ⌊λn⌋) 1 n − ⌊λn⌋ n−⌊λn⌋ 0 n−⌊λn⌋ Cov 1{Ui ≤u} . . . 1]d ). 1{Uj ≤u} . the asymptotic behavior of each empirical copula process is derived in Theorem 1: GC1 . .n−⌊λn⌋ (u).⌊λn⌋ (u) Cov GC2 . proof of Theorem 2. . hence. GC1 . Direct calculations and an application of the Cauchy condensation test to the generalized harmonic 30 .n−⌊λn⌋ (v) ≤ lim 4 ⌊λn⌋(n − ⌊λn⌋) i=−⌊λn⌋+1 0 n−⌊λn⌋ n→∞ n→∞ j=1 αX (|j − i|) cf. w. GC2 . (31) j=1 0 Cov GC2 . If a joint. . With given assumptions.⌊λn⌋ (v) := 1 ⌊λn⌋ 0 0 Cov 1{Ui ≤u} . 1]d if the limit exists. as: lim Cov GC1 . v ∈ [0.n−⌊λn⌋ (v).n−⌊λn⌋ (v) for all u. d Di C1 (u)BC1 u(i) i=1 Analogously. .⌊λn⌋ (u). i=1 j=1 (33) Convergence of the series in Equations (30) and (33) follows from Theorem 1. 2d-dimensional mean zero limiting Gaussian process (GC1 (u) GC2 (v))⊤ exists.⌊λn⌋ (u) := Cov 1{Ui ≤v} . Theorem A5. 49.⌊λn⌋ (u). we have GC2 . Equations (31) and (32) coincide by symmetry and converge absolutely. 1{Uj ≤v} . Hence.⌊λn⌋ (u).Proof of Theorem 4. GC1 . then a complete characterization can be obtained based on its covariance function [cf. GC2 . Inoue [27]. i=−⌊λn⌋+1 j=−⌊λn⌋+1 (30) Cov GC1 . it remains to prove that the empirical covariance matrix converges to a well-deﬁned limit. Xn are shifted by −⌊λn⌋ to locate the change point candidate at zero.n−⌊λn⌋ (u).n−⌊λn⌋ (v). The covariance matrix is given by Cov GC1 . GC2 . Appendix A. furthermore the limiting variances are equal (under the null hypothesis) and the double sum in its representation can be simpliﬁed [see 39] to reconcile the result of Theorem 1.n−⌊λn⌋ (v) lim n→∞ Cov GC2 . 1{Uj ≤v} .

1 ) > 0 for j1 ∈ {1. . then weak convergence of the latter linear combination follows by an application of Slutsky’s theorem and the proof of Theorem 4. Hence. n j=1 (35) (36) for all u ∈ [0.⌊λn⌋ (u) − n ⌊λn⌋ GC2 . . . . asymptotically equivalent. Proof of Corollary 1. Due to separate estimation of pseudo-observations in each subsample. . . we have limn→∞ Pn (Uj1 . . .1]d 1 − λGC1 (u) − √ λGC2 (u) 2 du. 1]d . Merging the sums involved in the two empirical copulas yields: ⌊λn⌋ n − ⌊λn⌋ √ √ C⌊λn⌋ (u) − C1 (u) + Cn−⌊λn⌋ (u) − C2 (u) n n 1 n √ ⌊λn⌋ n − ⌊λn⌋ = n 1{Uj ≤u} − C1 (u) − C2 (u) n n n j=1 √ 1 n = n 1{Uj ≤u} − Cmix (u) . Based on pseudo-observations U1 . Notice that (under the null hypothesis): ⌊λn⌋(n − ⌊λn⌋) C⌊λn⌋ (u) − Cn−⌊λn⌋ (u) n = n − ⌊λn⌋ GC1 . . 1] such that Ui ∼ C1 for all i = 1. . . .n−⌊λn⌋ (u) n for all u ∈ [0. . 1]d where. If C1 and C2 satisfy Condition (3). Equation (36) can be estimated on the basis of the tapered block multiplier approach as given in Theorem 3 and Equation (12). . 1]d . ⌊λn⌋ and Ui ∼ C2 for all i = ⌊λn⌋+1.i = Uj2 . respectively. . . Xn of (Xj )j∈Z with speciﬁed change point candidate ⌊λn⌋ for λ ∈ [0. Asymptotically.1 ) = 0. U⌊λn⌋ and U⌊λn⌋ . consider ⌊λn⌋ n ⌊λn⌋ C⌊λn⌋ (u) − C1 (u) + n − ⌊λn⌋ n n − ⌊λn⌋ Cn−⌊λn⌋ (u) − C2 (u) for all u ∈ [0. . . . The Corollary follows as Equation 31 . Cmix (u) := λC1 (u) + 1 − λC2 (u). . (34) based on strong mixing with polynomial rate αX (r) = O (r −a ) for some a > 1. n} in ﬁnite samples. ⌊λn⌋} and j2 ∈ {⌊λn⌋ + 1. .i = Uj2 . n. . . . Un (which are estimated separately for each subsample). . ties occur with positive probability Pn (Uj1 . An application of the continuous mapping theorem and Slutsky’s theorem yields Tn (λ) −→ T (λ) = w. Assume a sample X1 . Absolute convergence of Equations (31) and (32) follows the comparison test for inﬁnite series with respect to the series given in Equation (34). √ [0. . .series yield: lim 4 ⌊λn⌋(n − ⌊λn⌋) i=−⌊λn⌋+1 0 n−⌊λn⌋ j=1 ∞ ∞ n→∞ αX (|j − i|) < 4 αX (i) < 4 i=1 i=1 i−a < ∞. .

if the partial derivatives Di C(u) of the copula exist and satisfy Condition (3). . u) −→ BC (ζ.n (ζ.(35) reconciles Equation (21) up to a rescaling of deterministic factors and an application of the continuous mapping theorem.n (ζ.n (ζ. n (37) whereas weak convergence of the sequential empirical process BC. an improvement of the considered strong mixing condition is possible . Note that 1 BC. . 1]d+1 ). u) = √ n ⌊ζn⌋ j=1 d i=1 1{Uj. weak convergence of Sn (ζ. Philipp and Pinzur [35] prove convergence of BC. 1]d+1 ).n ζ.n (ζ. . 1]d+1 .n (ζ. Fd (Fd (ud )) − C(u) .n (ζ.i ≤Fn. then GC. 1{Uj ≤v} . F1 (F1 (u1 )). It remains to prove weak convergence in the case of unknown marginal distribution functions. is not relevant for the time-series applications investigated in this paper. and references therein]. v)) = min(ζ1 . Fd (Fd (ud )) + ⌊ζn⌋ √ −1 −1 · n C F1 (F1 (u1 )). 1{Uj ≤u} − C(u) 1 GC. u) − ζ in (ℓ∞ ([0. u) := √ n ⌊ζn⌋ j=1 ⌊ζn⌋ j=1 1{Uj ≤u} − C(u) . ζ2 ) Notice that. . ∞ ). w. u(i) i=1 (38) Weak convergence of the (d+1)-time parameter tied down empirical 32 . u).n (ζ. following the work of Dhompongsa [14]. As observed in Equation (26). d Di C(u)BC 1. . Proof of Theorem 5. More precisely. u) : there exists η > 0 depending on the dimension and the strong mixing rate αX (r) = O(r −4−d{1+ǫ} ) for some 0 < ǫ ≤ 1/4.this improvement. j∈Z Cov (BC (ζ1 . u) is a C-Kiefer process with covariance Cov 1{U0 ≤u} . u) − √ BC (ζ. u) ∈ [0. u) is established and weak convergence of Equation (37) can be proven by an application of the functional delta method and Slutsky’s theorem [see 4. . . . u) = O {log n}−η n ∞ ). such that: sup sup 0≤λ≤1 u∈[0.1]d 1 BC. where BC (ζ. . under the null hypothesis of a constant copula. u) := √ n for all (ζ. consider: 1 BC. u) can be derived based on the asymptotic behavior of the sequential empirical process. BC (ζ2 .i (F −1 (ui ))} − C(u) i −1 −1 =GC. almost surely in (ℓ∞ ([0. however. Under given assumptions. .

u) n ⌊ζn⌋ √ −1 −1 + ζ− n C F1 (F1 (u1 )). . i = 1.n (1. ⌊λp n⌋ and p ∈ P := {1. . . u) =GC. deﬁne ω := 0 for 0 < ζ ≤ λ1 . . . . Under the null hypothesis.n (1. u) in (ℓ∞ ([0. Consider the following linear combination of copulas: ω Ln (ζ. . . Convergence of the test statistics Tn . Proof of Corollary 2. . weak convergence conditional on X1 . . < λP < λP +1 = 1. . . . u) − ⌊ζn⌋ GC. . u) ∈ [0. yields the index of the maximal change point strictly dominated by ζ. u) − ζBC (1. The strong mixing assumptions of the former theorem on conditional weak convergence of the tapered block multiplier empirical copula process are relevant for this proof since they imply those of the latter Theorem 5. Xn almost surely follows combining the results of Theorems 3 and 5.n (ζ. since: Sn (ζ. . ∞ ). and Tn follows by an application of the continuous mapping theorem. d. for ζ > λ1 . . u) := p=1 ω ⌊λp n⌋ − ⌊λp−1 n⌋ ⌊ζn⌋ − ⌊λω n⌋ Cp (u) + Cω+1 (u) ⌊ζn⌋ ⌊ζn⌋ λp − λp−1 ζ − λω Cp (u) + Cω+1 (u) =: L(ζ. . . 1]. For any given ζ ∈ [0. . Fd (Fd (ud )) − C(u) n −→BC (ζ. Under the alternative hypothesis. the empirical copula 33 . P + 1}. Notice that Equation (38) and in particular continuity of the partial derivatives is not required for this result [cf. u) − BC. . arg maxp∈P λp 1{λp <ζ} for λ1 < ζ ≤ 1. w. 1]d+1 .n (ζ. Xn of a process (Xj )j∈Z . u) n ⌊ζn⌋ =BC.copula process given in Equation (26) holds. . u) ζ ζ → p=1 for all (ζ. Consider a sample X1 . Tn . 1]d+1 ). . which. . . in the context of GARCH 1 2 3 residuals]. . . the work of 36. whereas Uj ∼ Cp for all j = ⌊λp−1 n⌋ + 1. . Given knowledge of the constant marginal distribution functions Fi . there exist P change point candidates such that 0 = λ0 < λ1 < .

1]d+1 ).. . by construction. X⌊ζn⌋ converges weakly in (ℓ∞ ([0. u) = √ ξj 1{Uj ≤u} − Cn (u) − n n j=1 n j=1 (s) ξj 1 =√ n ⌊ζn⌋ j=1 ξj (s) 1 1{Uj ≤u} − C⌊ζn⌋ (u) − Cn (u) − C⌊ζn⌋ (u) √ n 1{Uj ≤u} − Cn (u) . u). 1]d+1 . 1{Uj ≤u} − Cn (u) ⌊ζn⌋ j=1 ξj (s) ⌊ζn⌋ −√ n3 n j=1 ξj (s) for all (ζ. u) √ . then the central limit theorem under strong mixing as given in Billingsley [2].of X1 . u) (39) ⌊ζn⌋ j=1 ω 1 ⌊ζn⌋ ⌊ζn⌋ − ⌊λω n⌋ ⌊λp n⌋ − ⌊λp−1 n⌋ Cp (u) − Cω+1 (u) 1{Uj ≤u} − = ⌊ζn⌋ ⌊ζn⌋ ⌊ζn⌋ ⌊ζn⌋ p=1 j=1 ω ⌊λp n⌋ 1 = 1{Uj ≤u} − (⌊λp n⌋ − ⌊λp−1 n⌋) Cp (u) ⌊ζn⌋ j=⌊λ n⌋+1 p=1 p−1 ⌊ζn⌋ 1 + 1{Uj ≤u} − (⌊ζn⌋ − ⌊λω n⌋) Cω+1 (u) ⌊ζn⌋ j=⌊λω n⌋+1 −→ w. . in (ℓ∞ ([0. u). u) and ζBL (1. ∞ ). there exists a tight limit in ℓ∞ ([0.e. If additionally centered around zero (i. Xn almost surely. satisfying A3b). . we have ⌊ζn⌋ 1 ⌊ζn⌋ (s) M Sn (s) (ζ.4 proves weak convergence of the second summand to a Normal limit conditional on X1 . 34 . 1]d+1 ). BCω+1 (u) =: ζ ζ The latter result follows from Theorem 1 and the results on joint convergence given in the proof of Theorem 4. . Xn almost surely to limiting processes BM (ζ. . Considering the tapered multiplier empirical copula process. . Notice that the tapered multiplier random variables themselves are. respectively. . . whereas (applying Equation (39) and Theorem 3) the ﬁrst and third summands converge weakly conditional on X1 . 1]d+1 ). . ∞) : 1 ⌊ζn⌋ ⌊ζn⌋ 1{Uj ≤u} − Ln (ζ. . . Hence. . strongly mixing. These are independent copies L L of BL (ζ. . u) and ζBM (1. Theorem 27. ω p=1 λp − λp−1 BCp (u) + ζ ζ − λω BL (ζ. . u) ∈ [0.

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