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Convolution Copula Econometrics - Umberto Cherubini,Fabio Gobbi,Sabrina Mulinacci

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2016-12-16
87,75 € 117,00 €

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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 app ... Visas aprašymas

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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.

Daugiau informacijos

Autorius Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
Leidėjas Springer International Publishing
Išleidimo metai 2016
Viršelio tipas Minkšti viršeliai
EAN 9783319480145
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87,75 € 117,00 €