Non-Stationary Samples and Meta-Distribution

DOI10.1142/9789814343961_0008MaRDI QIDQ6171547zbMATH OpenOpenAlexFDO

Authors Dominique Guegan

Publication date 13 August 2023

Published in Statistical Paradigms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789814343961_0008

zbMATH Keywords

copulanon-stationarityrisk managementSETAR processesswitching processes

Mathematics Subject Classification ID

Density estimation (62G07) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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(3)

• Fourier methods for analyzing piecewise constant volatilities
• Sample distribution function construction for non-stationary time-series forecasting
• Sample distribution function construction for non-stationary time series forecasting

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