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arXiv · 1204.3339

Parameterization of Copulas and Covariance Decay of Stochastic Processes

Guilherme Pumi·Sílvia R. C. Lopes
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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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BibTeXRIS

Guilherme Pumi, Sílvia R. C. Lopes. 2012-04-16. Parameterization of Copulas and Covariance Decay of Stochastic Processes. https://doi.org/10.1007/s00362-023-01418-z

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