MOPED: A moving sum method for change point detection in pairwise extremal dependence
MOPED:检测成对极端依赖变点的移动和方法
It is increasingly the case with modern time series that many data sets of practical interest contain abrupt changes in structure. These changes may occur in complex characteristics such as the extremal dependence structure, and identifying such structural breaks remains a challenging problem. Many existing change point detection algorithms focus on changes in dependence across the entire distribution, rather than the tails, and approaches that are tailored to extremes…