My basic question is: What is an adaptive copula?
I have slides from a presentation (unfortunately, I cannot ask the author of the slides) about adaptive copulae and I am not getting, what this means resp. what this is good for?
Here are the slides:
Then the slides continue with a change-point Test. I am wondering what this is about and why I need this in connection to copulae?
The slides end with an adaptively estimated parameter plot:
This seems to show, that my estimates are lagged behind. Any other interpretations, comments would be great!
I think adaptive in this context just means the reestimation on a rolling basis. So the parameter should not change until there is a change point. Then the true parameter increases and stays constant after it decreases again because of the second change point. The estimated parameter is evaluated compared to the true parameter: How fast does it get the change point? How fast does it adapt to the new environment?