Copula-Based Univariate Time Series Structural Shift Identification Test
General Finance
2016-09-19 v1
Abstract
An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components.
Cite
@article{arxiv.1609.05056,
title = {Copula-Based Univariate Time Series Structural Shift Identification Test},
author = {Henry Penikas},
journal= {arXiv preprint arXiv:1609.05056},
year = {2016}
}
Comments
20 pages