Convolution copula econometrics
著者
書誌事項
Convolution copula econometrics
（Springer Briefs in statistics）
Springer, c2016
- : [pbk.]
大学図書館所蔵 件 / 全8件
-
該当する所蔵館はありません
- すべての絞り込み条件を解除する
注記
Includes bibliographical references
内容説明・目次
内容説明
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.
目次
Preface.- The Dynamics of Economic Variables.- Estimation of Copula Models.- Copulas and Estimation of Markov Processes.- Copula-based Markov Processes: Estimation, Mixing Properties and Long-term Behavior.- Convolution-based Processes.- Application to Interest Rates.
「Nielsen BookData」 より
