Wavelet Estimation of Copulas for Time Series

Event Details
  • Date/Time:
    • Tuesday February 1, 2011
      11:00 am - 12:00 pm
  • Location: ISyE Executive classroom
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Summary Sentence: Wavelet Estimation of Copulas for Time Series

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TITLE: Wavelet Estimation of Copulas for Time Series

SPEAKER: Professor Morettin

ABSTRACT:

In this talk we consider the problem of estimating copulas for  time series, under mixing conditions, using wavelet expansions. The proposed estimators are based on  estimators of densities and distribution functions. Some statistical properties of the estimators are derived and their performance assessed via simulations. Empirical applications to real data are also
given.

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School of Industrial and Systems Engineering (ISYE)

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Status
  • Created By: Anita Race
  • Workflow Status: Published
  • Created On: Jan 21, 2011 - 6:23am
  • Last Updated: Oct 7, 2016 - 9:53pm