منابع مشابه
GeD spline estimation of multivariate Archimedean copulas
A new multivariate Archimedean copula estimation method is proposed in a non-parametric setting. The method uses the so called Geometrically Designed splines (GeD splines), recently introduced by Kaishev et al. (2006 a,b) [10] and [11], to represent the cdf of a random variable Wθ, obtained through the probability integral transform of an Archimedean copula with parameter θ. Sufficient conditio...
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In this paper I identify a condition on the finite dimensional copulas of a univariate time series that ensures the series is weakly dependent in the sense of Doukhan and Louhichi (1999). This condition relates to the Kolmogorov-Smirnov distance between the joint copula of a group of variables in the past and a group of variables in the future, and the copula that would obtain if the past and f...
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Copulas have been popular to model dependence for multivariate distributions, but have not been used much in modelling temporal dependence of univariate time series. This paper shows some difficulties with using copulas even for Markov processes: some tractable copulas such as mixtures between copulas of complete coand countermonotonicity and independence (Fréchet copulas) are shown to imply qu...
متن کاملCopulas, diagonals, and tail dependence
We present some known and novel aspects about bivariate copulas with prescribed diagonal section by highlighting their use in the description of the tail dependence. Moreover, we present the tail concentration function (which depends on the diagonal section of a copula) as a tool to give a description of tail dependence at finite scale. The tail concentration function is hence used to introduce...
متن کاملArchimedean Copulas and Temporal Dependence
A central aspect of time series analysis is the modeling of dependence over time. Workhorse time series models such as the autoregressive moving average (ARMA) model popularized by Box and Jenkins (1970), the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), or the autoregressive conditional duration (ACD) model of Engle and Russell (...
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ژورنال
عنوان ژورنال: Sankhya A
سال: 2019
ISSN: 0976-836X,0976-8378
DOI: 10.1007/s13171-019-00179-y