Parameterization of Copulas and Covariance Decay of Stochastic Processes

2012/04/16 by Pumi, Guilherme, Lopes, Sílvia R. C.
#Applications (stat.AP) #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #Other Statistics (stat.OT) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1204.3339

Abstract

In this work we study the problem of constructing stochastic processes with a predetermined covariance decay by parameterizing its marginals and a given family of copulas. We show that the proposed methodology is compatibility-free and present several examples to illustrate the theory, including the important Gaussian and Euclidean families of copulas. We associate the theory to common applied time series models.

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