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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Acar, Elif F., Czado, Claudia and Lysy, Martin 
Titel:
Flexible dynamic vine copula models for multivariate time series data 
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 
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