Wavelet estimation of copulas for time series

DOI10.2202/1941-1928.1033MaRDI QIDQ4928548zbMATH OpenOpenAlexFDO

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

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)

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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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