Time series models with infinite-order partial copula dependence
DOI10.48550/arXiv.2107.00960zbMath1489.62268arXiv2107.00960OpenAlexW4285143884MaRDI QIDQ109457
Martin Bladt, Alexander J. McNeil, Alexander J. McNeil, Martin Bladt
Publication date: 2 July 2021
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.00960
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stationary stochastic processes (60G10) Markov processes: estimation; hidden Markov models (62M05)
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