Copulas and time series with long-ranged dependencies

We review ideas on temporal dependencies and recurrences in discrete time series from several areas of natural and social sciences. We revisit existing studies and redefine the relevant observables in the language of copulas (joint laws of the ranks). We propose that copulas provide an appropriate m...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Physical review. E, Statistical, nonlinear, and soft matter physics Statistical, nonlinear, and soft matter physics, 2014-04, Vol.89 (4), p.042117-042117, Article 042117
Hauptverfasser:	Chicheportiche, Rémy, Chakraborti, Anirban
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Applications Computer Simulation Nonlinear Dynamics Quantitative Finance Signal Processing, Computer-Assisted Statistical Finance Statistics Time Factors
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!