Copula Modelling of Dependence in Multivariate Time Series
نویسندگان
چکیده
منابع مشابه
Copula Methods for Forecasting Multivariate Time Series
Copula-based models provide a great deal of exibility in modelling multivariate distributions, allowing the researcher to specify the models for the marginal distributions separately from the dependence structure (copula) that links them to form a joint distribution. In addition to exibility, this often also facilitates estimation of the model in stages, reducing the computational burden. Thi...
متن کاملModelling Multivariate Time Series
Multivariate time series (MTS) data are widely available in di erent elds including medicine, nance, science and engineering. Modelling MTS data e ectively is important for many decision-making activities. In this paper, we will describe some of our e orts in modelling these data for numerous tasks such as outlier analysis, forecasting and explanation. Through the analysis of various kinds of M...
متن کاملModelling of Multivariate Time Series
We introduce graphical time series models for the analysis of dynamic relationships among variables in multivariate time series. The modelling approach is based on the notion of strong Granger causality and can be applied to time series with non-linear dependencies. The models are derived from ordinary time series models by imposing constraints that are encoded by mixed graphs. In these graphs ...
متن کاملCopula-based semiparametric models for multivariate time series
The authors extend to multivariate contexts the copula-based univariate time series modeling approach of Chen & Fan [X. Chen, Y. Fan, Estimation of copula-based semiparametric time series models, J. Econometrics 130 (2006) 307–335; X. Chen, Y. Fan, Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification, J. Econometrics 135 (2006) ...
متن کاملCopula-based Orderings of Multivariate Dependence
In this paper I investigate the problem of de ning a multivariate dependence ordering. First, I provide a characterization of the concordance dependence ordering between multivariate random vectors with xed margins. Central to the characterization is a multivariate generalization of a well-known bivariate elementary dependence increasing rearrangement. Second, to order multivariate random vect...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2586849