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

DOI10.1080/00949655.2022.2091567OpenAlexW4283657565MaRDI QIDQ5887957

Mohammad Reza Mahmoudi

Publication date: 21 April 2023

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2022.2091567

zbMATH Keywords

copulafractional Brownian motionrelationshipperiodically correlated

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• gcmr

Cites Work

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• 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
• 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
• CYCLOCOPULA TECHNIQUE TO STUDY THE RELATIONSHIP BETWEEN TWO CYCLOSTATIONARY TIME SERIES WITH FRACTIONAL BROWNIAN MOTION ERRORS
• Fractional Brownian Motions, Fractional Noises and Applications

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