Semi-parametric Time Series Modelling with Autocopulas

DOI10.1007/978-3-319-30379-6_52zbMath1359.62388arXiv1507.04767OpenAlexW3122022537MaRDI QIDQ2958820

Antony Ware, Ilnaz Asadzadeh

Publication date: 3 February 2017

Published in: Mathematical and Computational Approaches in Advancing Modern Science and Engineering (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.04767

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

Cites Work

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• Estimation of copula-based semiparametric time series models
• Autocopulas: investigating the interdependence structure of stationary time series
• An introduction to copulas.
• Copulas and Markov processes

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