Wavelet estimation of copulas for time series

DOI10.2202/1941-1928.1033zbMATH Open1266.91078OpenAlexW1973910573MaRDI QIDQ4928548FDOQ4928548

Authors: Clélia M. C. Toloi, Chang Chiann, José Carlos Simon de Miranda, Pedro A. Morettin 

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1033

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zbMATH Keywords

copuladensitytime serieswaveletwavelet estimators

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

Cited In (9)

• Fitting time series with heavy tails and strong time dependence
• On Wigner–Ville Spectra and the Uniqueness of Time‐Varying Copula‐Based Spectral Densities
• Robust Fits for Copula Models
• A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
• Copula estimation through wavelets
• Estimation of a measure of local correlation for independent samples and time series data
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Estimating copula densities through wavelets
• Copula Density Estimation Using Multiwavelets Based on the Multiresolution Analysis

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