Dependence diagnosis for stationary stochastic processes based on both quantiles and copulas

DOI10.1360/N012018-00043MaRDI QIDQ5064082zbMATH OpenWikidataFDO

Authors Shibin Zhang, Xinsheng Zhang

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/N012018-00043

zbMATH Keywords

copuladiffusionlong-range dependenceOrnstein-Uhlenbeck processstate dependencestationary processtime reversibility

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

Recommendations

• Quantile spectral processes: asymptotic analysis and inference
• Distance covariance for stochastic processes
• Quantile-based spectral analysis: asymptotic theory and computation
• Measures of Dependence for Infinite Variance Distributions
• A copula approach for dependence modeling in multivariate nonparametric time series

This page was built for publication: Dependence diagnosis for stationary stochastic processes based on both quantiles and copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5064082)