Parameterization of Copulas and Covariance Decay of Stochastic Processes
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arXiv
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| Format: | Preprint |
| Published: |
2012
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| _version_ | 1866912454500417536 |
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| author | Pumi, Guilherme Lopes, Sílvia R. C. |
| author_facet | Pumi, Guilherme Lopes, Sílvia R. C. |
| contents | In this work we study the problem of constructing stochastic processes with a predetermined covariance decay by parameterizing its marginals and a given family of copulas. We show that the proposed methodology is compatibility-free and present several examples to illustrate the theory, including the important Gaussian and Euclidean families of copulas. We associate the theory to common applied time series models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1204_3339 |
| institution | arXiv |
| publishDate | 2012 |
| record_format | arxiv |
| spellingShingle | Parameterization of Copulas and Covariance Decay of Stochastic Processes Pumi, Guilherme Lopes, Sílvia R. C. Statistics Theory Applications Computation Other Statistics In this work we study the problem of constructing stochastic processes with a predetermined covariance decay by parameterizing its marginals and a given family of copulas. We show that the proposed methodology is compatibility-free and present several examples to illustrate the theory, including the important Gaussian and Euclidean families of copulas. We associate the theory to common applied time series models. |
| title | Parameterization of Copulas and Covariance Decay of Stochastic Processes |
| topic | Statistics Theory Applications Computation Other Statistics |
| url | https://arxiv.org/abs/1204.3339 |