Wavelet Estimation of Copulas for Time Series

DOI10.2202/1941-1928.1033zbMath1266.91078OpenAlexW1973910573MaRDI QIDQ4928548

Chang Chiann, Clélia M. C. Toloi, José Carlos Simon de Miranda, Pedro Alberto Morettin

Publication date: 14 June 2013

Published in: Journal of Time Series Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1941-1928.1033

zbMATH Keywords

copulatime serieswaveletdensitywavelet estimators

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

Related Items (3)

Estimation of a measure of local correlation for independent samples and time series data ⋮ Robust Fits for Copula Models ⋮ Copula estimation through wavelets

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