Copula-based semiparametric models for multivariate time series
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Publication:443770
DOI10.1016/J.JMVA.2012.03.001zbMATH Open1281.62136OpenAlexW3123139161MaRDI QIDQ443770FDOQ443770
Authors: Nicolas Papageorgiou, Frédéric Soustra, Bruno Rémillard 
Publication date: 13 August 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.03.001
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Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Stationary stochastic processes (60G10) Discrete-time Markov processes on general state spaces (60J05)
Cites Work
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Cited In (44)
- Dynamic Copula-Based Markov Time Series
- Optimal sampling designs for multidimensional streaming time series with application to power grid sensor data
- Multivariate Markov families of copulas
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Modelling financial time series using reflections of copulas
- Vine copula specifications for stationary multivariate Markov chains
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Copula-based time series with filtered nonstationarity
- Semi-parametric time series modelling with autocopulas
- Modeling dependence via copula of functionals of Fourier coefficients
- Minimum Hellinger distance estimation for bivariate samples and time series with applications to nonlinear regression and copula-based models
- A copula approach for dependence modeling in multivariate nonparametric time series
- Forecasting time series with multivariate copulas
- Autocopulas: investigating the interdependence structure of stationary time series
- Copula‐based semiparametric analysis for time series data with detection limits
- Regularized estimation and testing for high-dimensional multi-block vector-autoregressive models
- Method of moments estimators for the extremal index of a stationary time series
- Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
- Copula‐based semiparametric models for spatiotemporal data
- A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
- The Bickel-Rosenblatt test for continuous time stochastic volatility models
- A spatially-weighted AMH copula-based dissimilarity measure for clustering variables: an application to urban thermal efficiency
- Nonparametric tests for tail monotonicity
- Copula–Based Models for Financial Time Series
- Model assessment for time series dynamics using copula spectral densities: a graphical tool
- R routines for performing estimation and statistical process control under copula-based time series models
- Tests of independence and randomness for arbitrary data using copula-based covariances
- M-vine decomposition and VAR(1) models
- A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
- Stationary vine copula models for multivariate time series
- Weak convergence of a pseudo maximum likelihood estimator for the extremal index
- Goodness-of-fit test of copula functions for semi-parametric univariate time series models
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- A review of copula models for economic time series
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- Time series with infinite-order partial copula dependence
- A copula-based approximation to Markov chains
- Copula-based dynamic models for multivariate time series
- Tests of serial dependence for multivariate time series with arbitrary distributions
- Empirical and sequential empirical copula processes under serial dependence
- Modeling and fitting of time series with heavy distribution tails and strong time dependence by Gaussian time series
- Variational Bayes Estimation of Discrete-Margined Copula Models With Application to Time Series
- Hidden Markov structures for dynamic copulae
- Dynamic copulas for monotonic dependence change in time series
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