Copula directional dependence of discrete time series marginals

DOI10.1080/03610918.2019.1630434MaRDI QIDQ5082811zbMATH OpenOpenAlexWikidataFDO

Authors Mohammed Sulaiman Alqawba, Norou Diawara, Jong-Min Kim

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1630434

zbMATH Keywords

beta regressioncopulacount time seriesdirectional dependenceGLM

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• A negative binomial model for time series of counts
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• New Approach of Directional Dependence in Exchange Markets Using Generalized FGM Copula Function
• Partial likelihood
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• Statistical pattern recognition using Gaussian copula
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Cited in

(4)

• A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables
• Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals
• Time-dependent copulas
• Copula-based Markov zero-inflated count time series models with application

Describes a project that uses

Uses Software

• gcmr
• tscount
• astsa
• CopulaModel
• copBasic

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