Bücher, Axel; Kojadinovic, Ivan; Rohmer, Tom; Segers, Johan - In: Journal of Multivariate Analysis 132 (2014) C, pp. 111-128
Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional dependence structure. To be able to detect such changes better, a test is introduced based on a recently studied...