Copula directional dependence of discrete time series marginals

DOI10.1080/03610918.2019.1630434zbMATH Open1497.62226OpenAlexW2951243058WikidataQ127678613 ScholiaQ127678613MaRDI QIDQ5082811FDOQ5082811

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

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zbMATH Keywords

copulabeta regressionGLMcount time seriesdirectional dependence

Mathematics Subject Classification ID

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

Cites Work

• (SOFTWARE) gcmr
• Gaussian copula marginal regression
• Dependence Modeling with Copulas
• Title not available (Why is that?)
• Title not available (Why is that?)
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Partial likelihood
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• A negative binomial integer-valued GARCH model
• A mixed copula model for insurance claims and claim sizes
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
• A Note on Directional Dependence in Regression Setting
• Analysis of directional dependence using asymmetric copula-based regression models
• New Approach of Directional Dependence in Exchange Markets Using Generalized FGM Copula Function
• Significance tests to determine the direction of effects in linear regression models
• Statistical pattern recognition using Gaussian copula
• Directional Dependence of Genes Using Survival Truncated FGM Type Modification Copulas

Cited In (3)

• Copula-based Markov zero-inflated count time series models with application
• A heteroscedasticity diagnostic of a regression analysis with copula dependent random variables
• Time-dependent copulas

Uses Software

• gcmr
• astsa
• copBasic
• tscount
• CopulaModel

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