PPMiss

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Copula-Based Estimator for Long-Range Dependent Processes under Missing Data

Taiane Schaedler Prass, Guilherme Pumi

Last update: 4 September 2023

Copyright license: GNU General Public License

Software version identifier: 0.1.0, 0.1.1

Description

Implements the copula-based estimator for univariate long-range dependent processes, introduced in Pumi et al. (2023) <doi:10.1007/s00362-023-01418-z>. Notably, this estimator is capable of handling missing data and has been shown to perform exceptionally well, even when up to 70% of data is missing (as reported in <arXiv:2303.04754>) and has been found to outperform several other commonly applied estimators.

Cites work

• A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
• Estimation of Long-Range Dependent Models with Missing Data: to Input or not to Input?

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