Copula-based semiparametric models for multivariate time series
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Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 2015218 (Why is no real title available?)
- scientific article; zbMATH DE number 2152218 (Why is no real title available?)
- A review of copula models for economic time series
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- An empirical central limit theorem with applications to copulas under weak dependence
- Asymptotic theory of weakly dependent stochastic processes
- Basic properties of strong mixing conditions. A survey and some open questions
- Bivariate option pricing using dynamic copula models
- Change analysis of a dynamic copula for measuring dependence in multivariate financial data
- Copulas and temporal dependence
- Copula–Based Models for Financial Time Series
- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Dependence structure of conditional Archimedean copulas
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Estimation of copula-based semiparametric time series models
- Families of Multivariate Distributions
- Goodness-of-fit tests for copulas: A review and a power study
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- On Kendall's process
- Pair-copula constructions of multiple dependence
- Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
- Sampling nested Archimedean copulas
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Tests of independence and randomness based on the empirical copula process
- The Structure of Bivariate Distributions
- Time-dependent copulas
- Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
- Vines -- a new graphical model for dependent random variables.
Cited in
(44)- Dynamic Copula-Based Markov Time Series
- Multivariate Markov families of copulas
- Optimal sampling designs for multidimensional streaming time series with application to power grid sensor data
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Modelling financial time series using reflections of copulas
- Vine copula specifications for stationary multivariate Markov chains
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Copula-based time series with filtered nonstationarity
- Semi-parametric time series modelling with autocopulas
- Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models
- Modeling dependence via copula of functionals of Fourier coefficients
- Autocopulas: investigating the interdependence structure of stationary time series
- A copula approach for dependence modeling in multivariate nonparametric time series
- Forecasting time series with multivariate copulas
- Copula‐based semiparametric analysis for time series data with detection limits
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- Method of moments estimators for the extremal index of a stationary time series
- Copula‐based semiparametric models for spatiotemporal data
- Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
- A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
- The Bickel-Rosenblatt test for continuous time stochastic volatility models
- Nonparametric tests for tail monotonicity
- A spatially-weighted AMH copula-based dissimilarity measure for clustering variables: an application to urban thermal efficiency
- Copula–Based Models for Financial Time Series
- Model assessment for time series dynamics using copula spectral densities: a graphical tool
- R routines for performing estimation and statistical process control under copula-based time series models
- Tests of independence and randomness for arbitrary data using copula-based covariances
- M-vine decomposition and VAR(1) models
- Stationary vine copula models for multivariate time series
- Weak convergence of a pseudo maximum likelihood estimator for the extremal index
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
- A review of copula models for economic time series
- Time series with infinite-order partial copula dependence
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- Copula-based dynamic models for multivariate time series
- A copula-based approximation to Markov chains
- Tests of serial dependence for multivariate time series with arbitrary distributions
- Empirical and sequential empirical copula processes under serial dependence
- Modeling and fitting of time series with heavy distribution tails and strong time dependence by Gaussian time series
- Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series
- Dynamic copulas for monotonic dependence change in time series
- Hidden Markov structures for dynamic copulae
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