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arXiv · 2206.07976

Cyclocopula Technique to Study the Relationship Between Two Cyclostationary Time Series with Fractional Brownian Motion Errors

Mohammadreza Mahmoudi·Amir Mosavi
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Abstract

Detection of the relationship between two time series is so important in environmental and hydrological studies. Several parametric and non-parametric approaches can be applied to detect relationships. These techniques are usually sensitive to stationarity assumptions. In this research, a new copula-based method is introduced to detect the relationship between two cylostationary time series with fractional Brownian motion (fBm) errors. The numerical studies verify the performance of the introduced approach.

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Mohammadreza Mahmoudi, Amir Mosavi. 2022-06-16. Cyclocopula Technique to Study the Relationship Between Two Cyclostationary Time Series with Fractional Brownian Motion Errors. https://doi.org/10.1142/s0218348x22401375

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