MOPED uses moving sums of tail pairwise dependence matrix estimates to detect multiple change points in extremal dependence, with a multiscale variant that pools thresholds and bandwidths.
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MOPED: A moving sum method for change point detection in pairwise extremal dependence
MOPED uses moving sums of tail pairwise dependence matrix estimates to detect multiple change points in extremal dependence, with a multiscale variant that pools thresholds and bandwidths.