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Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Brechmann, E.C., and Czado, C.
Titel:
COPAR - Multivariate time series modeling using the COPula AutoRegressive model
Abstract:
Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however are limited to the modeling of linear and symmetric dependence. We propose a novel copula-based model which allows for non-linear and asymmetric modeling of serial as well as between-series dependencies. The model exploits the flexibility of vine copulas which are built up by bivariate copulas only. We descr...    »
Stichworte:
multivariate time series, copula autoregression, vector autoregression, vine copula
Dewey Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Applied Stochastic Models in Business and Industry
Jahr:
2015
Band / Volume:
31
Heft / Issue:
4
Seitenangaben Beitrag:
495-514
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1002/asmb.2043
WWW:
Applied Stochastic Models in Business and Industry
Verlag / Institution:
John Wiley and Sons Ltd.
Verlagsort:
Chichester, UK
Status:
Verlagsversion / published
Semester:
SS 15
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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