CYCLOCOPULA TECHNIQUE TO STUDY THE RELATIONSHIP BETWEEN TWO CYCLOSTATIONARY TIME SERIES WITH FRACTIONAL BROWNIAN MOTION ERRORS

DOI10.1142/S0218348X22401375OpenAlexW4210376959MaRDI QIDQ5101526

Amir Mosavi, Mohammad Reza Mahmoudi

Publication date: 30 August 2022

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.07976

zbMATH Keywords

copulatime seriesfractional Brownian motiontime series analysisregressiontime series forecastingcyclostationary

Mathematics Subject Classification ID

Linear inference, regression (62Jxx) Inference from stochastic processes (62Mxx) Multivariate analysis (62Hxx)

Related Items (1)

Evaluating the relationship between two periodically correlated processes with Mandelbrot-Van Ness fractional Brownian motion errors using periodic copula

Uses Software

• R
• gcmr

Cites Work

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• An introduction to copulas.
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Periodically correlated modeling by means of the periodograms asymptotic distributions
• A new method to detect periodically correlated structure
• Gaussian copula marginal regression
• Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
• Chebyshev cardinal wavelets for nonlinear stochastic differential equations driven with variable-order fractional Brownian motion
• The t Copula and Related Copulas
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence

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