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

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)

Recommendations

• Copula-based dynamic models for multivariate time series
• Flexible bivariate INAR(1) processes using copulas
• A copula approach for dependence modeling in multivariate nonparametric time series
• Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals
• Dynamic Copula-Based Markov Time Series

Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• A Note on Directional Dependence in Regression Setting
• A mixed copula model for insurance claims and claim sizes
• A negative binomial integer-valued GARCH model
• A negative binomial model for time series of counts
• Analysis of directional dependence using asymmetric copula-based regression models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
• Beta regression for time series analysis of bounded data, with application to Canada Google\(^{\circledR}\) Flu Trends
• Construction of non-exchangeable bivariate distribution functions
• Correlated data analysis: modeling, analytics, and applications
• Dependence modeling with copulas
• Directional Dependence of Genes Using Survival Truncated FGM Type Modification Copulas
• Gaussian copula marginal regression
• Generalized Autoregressive Moving Average Models
• Handbook of discrete-valued time series
• Integer-Valued GARCH Process
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Log-linear Poisson autoregression
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• New Approach of Directional Dependence in Exchange Markets Using Generalized FGM Copula Function
• Partial Likelihood Inference For Time Series Following Generalized Linear Models
• Partial likelihood
• Significance tests to determine the direction of effects in linear regression models
• Statistical pattern recognition using Gaussian copula
• Time series analysis and its applications. With R examples
• Time series analysis: Methods and applications
• (SOFTWARE) gcmr

Cited in

(4)

• Directional dependence via Gaussian copula beta regression model with asymmetric GARCH marginals
• 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

Describes a project that uses

Uses Software

• CopulaModel
• tscount
• copBasic
• astsa
• gcmr

This page was built for publication: Copula directional dependence of discrete time series marginals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5082811)