We propose a new monitoring procedure based on moving sums (MOSUM) for detecting single or multiple structural breaks in factor copula models. The test compares parameter estimates from a rolling window to those from a historical data set and analyzes the behavior under the null hypothesis of no parameter change. The case of multiple breaks is also treated. In the model, the joint copula is given by the copula of random variables which arise from a factor model. This is particularly useful for analyzing high dimensional data. Parameters are estimated with the simulated method of moments (SMM). We analyze the behavior of the monitoring procedure in Monte Carlo simulations and a real data application. We consider an online procedure for predicting the day-ahead Value-at-risk based on the suggested monitoring procedure.

中文翻译：

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检测因子 copula 模型中结构断裂的监测程序

我们提出了一种基于移动总和 (MOSUM) 的新监控程序，用于检测因子 copula 模型中的单个或多个结构中断。该测试将来自滚动窗口的参数估计值与来自历史数据集的参数估计值进行比较，并分析在无参数更改的原假设下的行为。也处理多次中断的情况。在模型中，联合 copula 由因子模型产生的随机变量的 copula 给出。这对于分析高维数据特别有用。使用模拟矩量法 (SMM) 估计参数。我们分析了蒙特卡罗模拟和实际数据应用中监控程序的行为。我们考虑基于建议的监控程序预测日前风险价值的在线程序。