Long memory estimation in a non-Gaussian bivariate process

DOI10.1016/j.amc.2021.126871OpenAlexW4200283982MaRDI QIDQ2668362

Yasukazu Yoshizawa, Milan Stehlík, Ledys Llasmin Salazar Gomez, Felix Fuders, Soledad Torres, Naoyuki Ishimura, Jozef Kisel'ák

Publication date: 3 March 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126871

zbMATH Keywords

discrete wavelet transformHurst parametercopula functionStudent \(t\) distributionnon-Gaussian processGTCLM model

Mathematics Subject Classification ID

Multivariate analysis (62Hxx) Stochastic processes (60Gxx) Statistical distribution theory (62Exx)

Cites Work

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• An introduction to copulas.
• A two-sample test for comparison of long memory parameters
• Chaos and complexity in a fractional-order financial system with time delays
• Fractional Brownian motion in a nutshell
• The t Copula and Related Copulas
• Continuous Bivariate Distributions
• Wavelet packet computation of the Hurst exponent
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Basic properties of the Multivariate Fractional Brownian Motion
• Remarks on a Multivariate Transformation

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