Modeling dependence via copula of functionals of Fourier coefficients

DOI10.1007/S11749-020-00703-5zbMATH Open1474.62167arXiv1809.09448OpenAlexW3011661258MaRDI QIDQ2665795FDOQ2665795

Authors: Charles Fontaine, Ron D. Frostig, Hernando C. Ombao 

Publication date: 19 November 2021

Published in: Test (Search for Journal in Brave)

Abstract: The goal of this paper is to develop a measure for characterizing complex dependence between stationary time series that cannot be captured by traditional measures such as correlation and coherence. Our approach is to use copula models of functionals of the Fourier coefficients which is a generalization of coherence. Here, we use standard parametric copula models with a single parameter both from elliptical and Archimedean families. Our approach is to analyze changes in local field potentials in the rat cortex prior to and immediately following the onset of stroke. We present the necessary theoretical background, the multivariate models and an illustration of our methodology on these local field potential data. Simulations with non-linear dependent data show information that were missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex non-linear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats.

Full work available at URL: https://arxiv.org/abs/1809.09448

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zbMATH Keywords

Fourier transformcoherencerankstime seriesdependenceparametric copulas

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited In (5)

• Copula modelling of nurses' agitation-sedation rating of ICU patients
• Beyond Linear Dynamic Functional Connectivity: A Vine Copula Change Point Model
• On a bivariate copula for modeling negative dependence: application to New York air quality data
• Nonstationary modelling of tail dependence of two subjects' concentration
• Estimating linear dependence between nonstationary time series using the locally stationary wavelet model

Uses Software

• astsa

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