Copula approach to residuals of regime-switching models
Anna Petričková; Magda Komorníková
Kybernetika (2012)
- Volume: 48, Issue: 3, page 550-566
- ISSN: 0023-5954
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topPetričková, Anna, and Komorníková, Magda. "Copula approach to residuals of regime-switching models." Kybernetika 48.3 (2012): 550-566. <http://eudml.org/doc/246197>.
@article{Petričková2012,
abstract = {The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.},
author = {Petričková, Anna, Komorníková, Magda},
journal = {Kybernetika},
keywords = {autocopula; time series; residuals; regime-switching models; time series; autocopula; residuals; regime-switching models},
language = {eng},
number = {3},
pages = {550-566},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Copula approach to residuals of regime-switching models},
url = {http://eudml.org/doc/246197},
volume = {48},
year = {2012},
}
TY - JOUR
AU - Petričková, Anna
AU - Komorníková, Magda
TI - Copula approach to residuals of regime-switching models
JO - Kybernetika
PY - 2012
PB - Institute of Information Theory and Automation AS CR
VL - 48
IS - 3
SP - 550
EP - 566
AB - The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.
LA - eng
KW - autocopula; time series; residuals; regime-switching models; time series; autocopula; residuals; regime-switching models
UR - http://eudml.org/doc/246197
ER -
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