Dependence diagnosis for stationary stochastic processes based on both quantiles and copulas
نویسندگان
چکیده
منابع مشابه
Stochastic Processes ( Fall 2014 ) Spectral representations and ergodic theorems for stationary stochastic processes Stationary stochastic processes
A stochastic process X is strongly stationary if its fdds are invariant under time shifts, that is, for any (finite) n, for any t0 and for all t1, ..., tn ∈ T , (Xt1 , ..., Xtn) and (Xt1+t0 , ..., Xtn+t0) have the same distribution. A stochastic process X is weakly stationary if its mean function is constant and its covariance function is invariant under time shifts. That is, for all t ∈ T , E(...
متن کاملPrediction for Non-Stationary Stochastic Processes – II
A method is presented for extrapolation of time-series which contain time-varying frequency components. The time-series is complex-demodulated at a set of frequencies. The resulting time-frequency time-series are assumed to be time-dependent such that the amplitude and phase change relatively slowly with time. This change is taken into account in the extrapolation. This model of a non-stationar...
متن کاملCopulas for Markovian Dependence
Copulas have been popular to model dependence for multivariate distributions, but have not been used much in modelling temporal dependence of univariate time series. This paper shows some difficulties with using copulas even for Markov processes: some tractable copulas such as mixtures between copulas of complete coand countermonotonicity and independence (Fréchet copulas) are shown to imply qu...
متن کاملDynamic dependence ordering for Archimedean copulas and distorted copulas
This paper proposes a general framework to compare the strength of the dependence in survival models, as time changes, i. e. given remaining lifetimes X , to compare the dependence of X given X > t, and X given X > s, where s > t. More precisely, analytical results will be obtained in the case the survival copula of X is either Archimedean or a distorted copula. The case of a frailty based mode...
متن کاملCopulas and Temporal Dependence
In this paper I identify a condition on the finite dimensional copulas of a univariate time series that ensures the series is weakly dependent in the sense of Doukhan and Louhichi (1999). This condition relates to the Kolmogorov-Smirnov distance between the joint copula of a group of variables in the past and a group of variables in the future, and the copula that would obtain if the past and f...
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: SCIENTIA SINICA Mathematica
سال: 2019
ISSN: 1674-7216
DOI: 10.1360/n012018-00043