Dynamic copula-based Markov time series

Communications in Statistics - Theory and Methods

Volumn 37, Issue 15, 2008, Pages 2447-2460

  Abegaz, Fentaw ^a   Naik Nimbalkar, U V ^a  

^a UNIVERSITY OF PUNE   (India)

Author keywords

Copula; Dynamic copula; Kendall's tau; Markov time series; Score test; Time varying parameter

Indexed keywords

MARKOV PROCESSES; MAXIMUM LIKELIHOOD ESTIMATION; PROBABILITY DISTRIBUTIONS; TIME SERIES ANALYSIS;

(001) PARAMETER; AUTO-REGRESSIVE MOVING AVERAGE (ARMA); DEPENDENCE STRUCTURE; EXPONENTIAL TYPE; MODELING APPROACHES; NULL DISTRIBUTION; SCORE TEST; SERIAL DEPENDENCE; SIMULATED DATA; TEST PROCEDURES; TIME SERIES; TIME SERIES DATA; TWO STAGES;

TESTING;

EID: 46149083523     PISSN: 03610926     EISSN: 1532415X     Source Type: Journal    
DOI: 10.1080/03610920801931846     Document Type: Article

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