相关论文: Copula-Based Time Series for Non-Gaussian and Non-…

Copula-based time series models can model univariate and stationary time series in a flexible way by decomposing the joint distribution of consecutive observations into a copula and the stationary distribution. Implicitly this approach…

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…

We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher orders and multivariate series. We derive the copula of a…

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…

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…

We introduce a general approach for modeling the dynamic of multivariate time series when the data are of mixed type (binary/count/continuous). Our method is quite flexible and conditionally on past values, each coordinate at time $t$ can…

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…

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…

An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the…

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.

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…

The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…

Copula-based models provide a great deal of flexibility in modelling multivariate distributions, allowing for the specifications of models for the marginal distributions separately from the dependence structure (copula) that links them to…

Predicting the dependencies between observations from multiple time series is critical for applications such as anomaly detection, financial risk management, causal analysis, or demand forecasting. However, the computational and numerical…

Cylindrical data frequently arise across various scientific disciplines, including meteorology (e.g., wind direction and speed), oceanography (e.g., marine current direction and speed or wave heights), ecology (e.g., telemetry), and…

All too often measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However this may not capture all facets of reality. We study empirical dependencies of daily stock returns by…

We define a copula process which describes the dependencies between arbitrarily many random variables independently of their marginal distributions. As an example, we develop a stochastic volatility model, Gaussian Copula Process Volatility…

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…

This paper develops a copula-based time-series framework for modelling sovereign credit rating activity and its dependence dynamics, with extensions incorporating climate risk. We introduce a mixed-difference transformation that maps…

This article presents factor copula approaches to model temporal dependency of non-Gaussian (continuous/discrete) longitudinal data. Factor copula models are canonical vine copulas which explain the underlying dependence structure of a…