Convolution copula econometrics [Documento electrónico] / Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
Language: eng.Country: US - United States of America.Publication: Cham : Springer International Publishing, 2016Description: X, 90 p. : 31 il.ISBN: 978-3-319-48015-2.Series: Springer briefs in statisticsSubject - Topical Name: Estatística | Distribuição (Teoria das probabilidades) | Econometria | Estatística matemática | 4515Online Resources:Click here to access onlineItem type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode | |
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E-Books | Biblioteca NOVA FCT | Não Ficção | QA276.SPR FCT 96856 (Browse shelf(Opens below)) | 1 | Available |
Colocação: Online
This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.
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