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Convolution Copula Econometrics - SpringerBriefs in Statistics (Paperback)
  • Convolution Copula Econometrics - SpringerBriefs in Statistics (Paperback)
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Convolution Copula Econometrics - SpringerBriefs in Statistics (Paperback)

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£49.99
Paperback 90 Pages / Published: 16/12/2016
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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.

Publisher: Springer International Publishing AG
ISBN: 9783319480145
Number of pages: 90
Weight: 226 g
Dimensions: 235 x 155 x 5 mm
Edition: 1st ed. 2016


MEDIA REVIEWS
"The goal of the book is to gather the main concepts of copula function theory that can be applied to the analysis of time series (so-called convolution-based copulas), and some new ideas, linked to copulas, such as estimation of copula-based Markov processes. ... The book will be useful for the researchers working in econometrics, interest rate, Markov processes and copulas fields." (Anatoliy Swishchuk, zbMATH 1360.62006, 2017)

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