English

Time series models with infinite-order partial copula dependence

Methodology 2021-07-05 v1 Statistical Finance Applications

Abstract

Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such processes to infinite copula sequences is considered and shown to yield a rich class of models that generalizes Gaussian ARMA and ARFIMA processes to allow both non-Gaussian marginal behaviour and a non-Gaussian description of the serial partial dependence structure. Extensions of classical causal and invertible representations of linear processes to general s-vine processes are proposed and investigated. A practical and parsimonious method for parameterizing s-vine processes using the Kendall partial autocorrelation function is developed. The potential of the resulting models to give improved statistical fits in many applications is indicated with an example using macroeconomic data.

Keywords

Cite

@article{arxiv.2107.00960,
  title  = {Time series models with infinite-order partial copula dependence},
  author = {Martin Bladt and Alexander J. McNeil},
  journal= {arXiv preprint arXiv:2107.00960},
  year   = {2021}
}

Comments

30 pages, 4 figures

R2 v1 2026-06-24T03:50:17.794Z