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B1356
Title: Testing for structural breaks via ordinal pattern dependence Authors:  Herold Dehling - Ruhr-University Bochum (Germany) [presenting]
Alexander Schnurr - University Siegen (Germany)
Abstract: We propose new concepts in order to analyse and model the dependence structure between two time series. Our methods rely exclusively on the order structure of the data points. Hence, the methods are stable under monotone transformations of the time series and robust against small perturbations or measurement errors. Ordinal pattern dependence can be characterised by four parameters. We propose estimators for these parameters, and we calculate their asymptotic distributions. Furthermore, we derive a test for structural breaks within the dependence structure. All results are supplemented by simulation studies and empirical examples.