Copula-based dynamic models for multivariate time series

DOI10.1016/j.jmva.2019.03.002zbMath1420.62391OpenAlexW2921269102MaRDI QIDQ123371

Bruno N. Rémillard, Bouchra R. Nasri, Bruno Rémillard, Bouchra R. Nasri

Publication date: July 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2019.03.002

zbMATH Keywords

time seriescopulasgoodness-of-fitdynamic modelsgeneralized error models

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inference from stochastic processes (62M99)

Related Items (6)

A random walk through Canadian contributions on empirical processes and their applications in probability and statistics ⋮ Editorial for the special issue on dependence models ⋮ Stationary vine copula models for multivariate time series ⋮ Semi-parametric copula-based models under non-stationarity ⋮ Change-point problems for multivariate time series using pseudo-observations ⋮ changepointTests

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