Gaussian copula time series with heavy tails and strong time dependence

DOI10.3103/S0027132215050010zbMath1408.62148OpenAlexW2265782412MaRDI QIDQ255760

A. E. Mazur, Vladimir I. Piterbarg

Publication date: 9 March 2016

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0027132215050010

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

Related Items (3)

Fitting time series with heavy tails and strong time dependence ⋮ On the maximum domain of attraction for transformations of a normal random variable ⋮ Modeling and Fitting of Time Series with Heavy Distribution Tails and Strong Time Dependence by Gaussian Time Series

Cites Work

• Extremes and related properties of random sequences and processes
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models
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