Autocopulas: investigating the interdependence structure of stationary time series

DOI10.1007/S11009-011-9230-2zbMATH Open1241.62126OpenAlexW1983742991MaRDI QIDQ430873FDOQ430873

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

Recommendations

• Semi-parametric time series modelling with autocopulas
• A copula approach for dependence modeling in multivariate nonparametric time series
• Dynamic Copula-Based Markov Time Series
• Copula-based semiparametric models for multivariate time series
• Applications of distance correlation to time series

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)

Cites Work

• Goodness-of-fit tests for copulas: A review and a power study
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Statistics of Extremes
• Title not available (Why is that?)
• An introduction to copulas.
• Tests of independence and randomness based on the empirical copula process
• Estimation of copula-based semiparametric time series models
• Title not available (Why is that?)
• Diagnostic Checking in ARMA Models With Uncorrelated Errors
• Estimating linear representations of nonlinear processes
• Title not available (Why is that?)
• Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• Stability of nonlinear AR-GARCH models
• Rank-based entropy tests for serial independence
• A light-tailed conditionally heteroscedastic model with applications to river flows
• A two-state regime switching autoregressive model with an application to river flow analysis

Cited In (1)

• Semi-parametric Time Series Modelling with Autocopulas

Uses Software

• QRM

This page was built for publication: Autocopulas: investigating the interdependence structure of stationary time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q430873)