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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Convolution Copula Econometrics

Convolution Copula Econometrics

Gobbi, Fabio
Cherubini, Umberto
Mulinacci, Sabrina

Paperback

Series: Springerbriefs in Statistics

Business GeneralEconomicsProbability & Statistics

ISBN10: 3319480146
ISBN13: 9783319480145
Publisher: Springer Nature
Published: Dec 16 2016
Pages: 90
Weight: 0.34
Height: 0.21 Width: 6.14 Depth: 9.21
Language: English
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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