Parameterization of Copulas and Covariance Decay of Stochastic Processes
Statistics Theory
2025-07-01 v2 Applications
Computation
Other Statistics
Statistics Theory
Abstract
In this work we study the problem of constructing stochastic processes with a predetermined covariance decay by parameterizing its marginals and a given family of copulas. We show that the proposed methodology is compatibility-free and present several examples to illustrate the theory, including the important Gaussian and Euclidean families of copulas. We associate the theory to common applied time series models.
Cite
@article{arxiv.1204.3339,
title = {Parameterization of Copulas and Covariance Decay of Stochastic Processes},
author = {Guilherme Pumi and Sílvia R. C. Lopes},
journal= {arXiv preprint arXiv:1204.3339},
year = {2025}
}