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portada Convolution Copula Econometrics (Springerbriefs in Statistics)
Type
Physical Book
Publisher
Author
Year
2016
Language
English
Pages
90
Format
Paperback
ISBN13
9783319480145
Edition No.
1
Categories

Convolution Copula Econometrics (Springerbriefs in Statistics)

Umberto Cherubini; Fabio Gobbi; Sabrina Mulinacci (Author) · Springer · Paperback

Convolution Copula Econometrics (Springerbriefs in Statistics) - Umberto Cherubini; Fabio Gobbi; Sabrina Mulinacci

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Synopsis "Convolution Copula Econometrics (Springerbriefs in Statistics) "

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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