Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points

The main purpose of the present paper is to establish the asymptotic properties of pseudo maximum likelihood estimators of the parameters of a multiple change-point model in the multivariate copula models when marginal distributions are unspecified but the copula function is parametrized. A pseudo likelihood ratio-type statistic is proposed for testing a sequence of observations for no change in the copula parameter against possible changes. Finally, a weighted bootstrap procedure that aims at evaluating the limiting distributions is examined.