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Titel:

Flexible dynamic vine copula models for multivariate time series data

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Acar, Elif F.; Czado, Claudia; Lysy, Martin
Abstract:
The representation of temporal patterns is essential to time series analysis. In the case of two or more time series, one needs to account for temporal patterns not only in each univariate series but also in their joint behavior. A multivariate model is proposed here for the specification of time-varying dependence patterns in multivariate time series in a flexible way. The model is built by first addressing the temporal patterns in each series and then modeling the interdependencies among their...     »
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Econometrics and Statistics
Jahr:
2019
Band / Volume:
12
Jahr / Monat:
2019-10
Quartal:
4. Quartal
Monat:
Oct
Heft / Issue:
12
Seitenangaben Beitrag:
181-197
Sprache:
en
Volltext / DOI:
doi:10.1016/j.ecosta.2019.03.002
Verlag / Institution:
Elsevier BV
Verlagsort:
Amsterdam, Niederlande
E-ISSN:
2452-3062
Publikationsdatum:
01.10.2019
Semester:
WS 19-20
TUM Einrichtung:
Professur für Angewandte Mathematische Statistik
Format:
Text
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