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Related papers: Copulas and time series with long-ranged dependenc…

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Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged…

Data Analysis, Statistics and Probability · Physics 2013-09-11 Rémy Chicheportiche , Anirban Chakraborti

This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…

Statistics Theory · Mathematics 2018-12-11 Natalie Neumeyer , Marek Omelka , Sarka Hudecova

In the copula-based approach to univariate time series modeling, the finite dimensional temporal dependence of a stationary time series is captured by a copula. Recent studies investigate how copula-based time series models can be…

Methodology · Statistics 2026-04-03 Sven Pappert , Harry Joe

We consider multivariate copula-based stationary time-series under Gaussian subordination. Observed time series are subordinated to long-range dependent Gaussian processes and characterized by arbitrary marginal copula distributions. First…

Statistics Theory · Mathematics 2018-03-16 Yusufu Simayi

We present a general approach for studying autoregressive categorical time series models with dependence of infinite order and defined conditional on an exogenous covariate process. To this end, we adapt a coupling approach, developed in…

Statistics Theory · Mathematics 2019-08-01 Lionel Truquet

Copulas are essential tools in statistics and probability theory, enabling the study of the dependence structure between random variables independently of their marginal distributions. Among the various types of copulas, Ratio-Type Copulas…

Statistics Theory · Mathematics 2025-05-21 Ziad Adwan , Nicola Sottocornola

The thesis is composed of three parts. Part I introduces the mathematical and statistical tools that are relevant for the study of dependences, as well as statistical tests of Goodness-of-fit for empirical probability distributions. I…

Statistical Finance · Quantitative Finance 2013-09-20 Rémy Chicheportiche

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…

Methodology · Statistics 2012-04-05 Eike Christian Brechmann , Claudia Czado

Copulas have been popular to model dependence for multivariate distributions, but have not been used much in modelling temporal dependence of univariate time series. This paper demonstrates some difficulties with using copulas even for…

Probability · Mathematics 2010-10-11 Andreas N. Lagerås

Modelling multivariate circular time series is considered. The cross-sectional and serial dependence is described by circulas, which are analogs of copulas for circular distributions. In order to obtain a simple expression of the dependence…

Methodology · Statistics 2023-11-23 Hiroaki Ogata

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.

General Finance · Quantitative Finance 2016-09-19 Henry Penikas

We are studying the problems of modeling and inference for multivariate count time series data with Poisson marginals. The focus is on linear and log-linear models. For studying the properties of such processes we develop a novel conceptual…

Methodology · Statistics 2017-04-10 Paul Doukhan , Konstantinos Fokianos , Bård Støve , Dag Tjøstheim

In this paper, we revisit the notion of partial copula, originally introduced to test conditional independence, highlighting its capability to represent the dependence between two random variables after removing their dependence with a…

Methodology · Statistics 2026-05-26 Vinícius Litvinoff Justus , Felipe Fontana Vieira

Copulas have now become ubiquitous statistical tools for describing, analysing and modelling dependence between random variables. Sklar's theorem, "the fundamental theorem of copulas", makes a clear distinction between the continuous case…

Methodology · Statistics 2019-02-12 Gery Geenens

The goal of this paper is to develop a measure for characterizing complex dependence between stationary time series that cannot be captured by traditional measures such as correlation and coherence. Our approach is to use copula models of…

Methodology · Statistics 2018-09-26 Charles Fontaine , Ron D. Frostig , Hernando Ombao

Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional dependence structure. To be able to detect such changes…

Statistics Theory · Mathematics 2014-09-16 Axel Bücher , Ivan Kojadinovic , Tom Rohmer , Johan Segers

This paper introduces an innovative method for constructing copula models capable of describing arbitrary non-monotone dependence structures. The proposed method enables the creation of such copulas in parametric form, thus allowing the…

Methodology · Statistics 2024-03-26 Manfred Marvin Marchione , Fabio Baione

Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise…

Statistics Theory · Mathematics 2009-12-07 Gordon Gudendorf , Johan Segers

In this paper, we obtain general representations for the joint distributions and copulas of arbitrary dependent random variables absolutely continuous with respect to the product of given one-dimensional marginal distributions. The…

Statistics Theory · Mathematics 2016-08-16 Victor H. de la Peña , Rustam Ibragimov , Shaturgun Sharakhmetov

The analysis of large experimental datasets frequently reveals significant interactions that are difficult to interpret within the theoretical framework guiding the research. Some of these interactions actually arise from the presence of…

Applications · Statistics 2017-09-19 Hannes Matuschek , Reinhold Kliegl
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