S
Sven Otto
Researcher at University of Bonn
Publications - 4
Citations - 10
Sven Otto is an academic researcher from University of Bonn. The author has contributed to research in topics: CUSUM & Copula (probability theory). The author has an hindex of 1, co-authored 4 publications receiving 7 citations.
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Backward CUSUM for Testing and Monitoring Structural Change
Sven Otto,Jörg Breitung +1 more
TL;DR: In this paper, the authors proposed two alternative detector statistics: backward CUSUM and stacked backward cUSUM, which are suitable for retrospective testing and fixed endpoint monitoring, respectively.
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Testing and Dating Structural Changes in Copula-based Dependence Measures
Florian Stark,Sven Otto +1 more
TL;DR: In this paper, a cumulative sum (CUSUM) type test for constant copula-based dependence measures, such as Spearman's rank correlation and quantile dependencies, is proposed to date break points and to decide whether two estimated break locations belong to the same break event.
Posted Content
Backward CUSUM for Testing and Monitoring Structural Change
Sven Otto,Jörg Breitung +1 more
TL;DR: Two alternative detector statistics are proposed: the backward CUSUM detector sequentially cumulates the recursive residuals in reverse chronological order, whereas the stacked backward C USUM detector considers a triangular array of backward cumulated residuals.
Journal ArticleDOI
Testing and dating structural changes in copula-based dependence measures
Florian Stark,Sven Otto +1 more
TL;DR: In this article, a cumulative sum (CUSUM) type test for constant copula-based time series is proposed to test the dependence structure of a multivariate time series.