Autocopulas: investigating the interdependence structure of stationary time series

DOI10.1007/S11009-011-9230-2MaRDI QIDQ430873zbMATH OpenOpenAlexFDO

Authors Pál Rakonczai, László Márkus, A. Zempléni

Publication date 26 June 2012

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-011-9230-2

zbMATH Keywords

goodness-of-fit testcopulasKendall's transformriver flow series

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to environmental and related topics (62P12)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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• A two-state regime switching autoregressive model with an application to river flow analysis
• An introduction to copulas.
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• Estimating linear representations of nonlinear processes
• Estimation of copula-based semiparametric time series models
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• Goodness-of-fit tests for copulas: A review and a power study
• Rank-based entropy tests for serial independence
• Stability of nonlinear AR-GARCH models
• Statistics of Extremes
• Tests of independence and randomness based on the empirical copula process
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors

Cited in

(1)

• Semi-parametric time series modelling with autocopulas

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• QRM

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