Detecting atypical observations in financial data: The forward search for elliptical copulas

Advances in Data Analysis and Classification

Volumn 4, Issue 4, 2010, Pages 287-299

  Bellini, Tiziano ^a  

^a UNIVERSITY OF PARMA   (Italy)

Author keywords

Copulas; Forward search; Squared Mahalanobis distance

Indexed keywords

REGRESSION ANALYSIS; TIME SERIES;

COPULAS; ELLIPTICAL COPULA; FINANCIAL DATA; FORWARD SEARCH; MAHALANOBIS DISTANCES; NEW YORK; NON-LINEAR REGRESSION; REAL TIME SERIES; ROBUST DIAGNOSTICS; SIMULATED ENVIRONMENT; THEORETICAL BOUNDARY;

TIME SERIES ANALYSIS;

EID: 78650040099     PISSN: 18625347     EISSN: 18625355     Source Type: Journal    
DOI: 10.1007/s11634-010-0072-5     Document Type: Article

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