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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.
Status
- Workflow Status: Published
- Created By: Anita Race
- Created: 01/21/2011
- Modified By: Fletcher Moore
- Modified: 10/07/2016
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