Convolution copula econometrics [[electronic resource] /] / by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
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| Autore: |
Cherubini Umberto
|
| Titolo: |
Convolution copula econometrics [[electronic resource] /] / by Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci
|
| Pubblicazione: | Cham : , : Springer International Publishing : , : Imprint : Springer, , 2016 |
| Edizione: | 1st ed. 2016. |
| Descrizione fisica: | 1 online resource (X, 90 p. 31 illus., 30 illus. in color.) |
| Disciplina: | 332.015195 |
| Soggetto topico: | Statistics |
| Probabilities | |
| Econometrics | |
| Applied mathematics | |
| Engineering mathematics | |
| Statistics for Business, Management, Economics, Finance, Insurance | |
| Probability Theory and Stochastic Processes | |
| Statistical Theory and Methods | |
| Applications of Mathematics | |
| Persona (resp. second.): | GobbiFabio |
| MulinacciSabrina | |
| Nota di bibliografia: | Includes bibliographical references at the end of each chapters. |
| Nota di contenuto: | 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. . |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Convolution Copula Econometrics |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910155297503321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
SpringerBriefs in Statistics, . 2191-544X