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Short Communications
Modeling and fitting of time series with heavy distribution tails and strong time dependence by Gaussian time series
A. E. Mazur Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
In the model of Gaussian copula time series with the tails of one-dimensional distributions belonging to the
Fréchet maximum domain of attraction and the description of dependency based on Gaussian variables
(see [A. E. Mazur and V. I. Piterbarg, Moscow Univ. Math. Bull., 70 (2015), pp. 197–201]),
an estimator for the copula (which is a nonlinear function that takes Gaussian variables to variables from the Fréchet maximum domain of attraction)
is built.
This opens the way for statistical analysis of data time series with
potentially heavy tails using the machinery of asymptotic analysis of Gaussian sequences.
The consistency and asymptotic normality for this estimator are proved.
Keywords:
Gaussian sequence, Fréchet maximum domain of attraction, empirical quantile function.
Received: 10.10.2017 Revised: 19.10.2017 Accepted: 23.10.2017
Citation:
A. E. Mazur, “Modeling and fitting of time series with heavy distribution tails and strong time dependence by Gaussian time series”, Teor. Veroyatnost. i Primenen., 63:1 (2018), 186–190; Theory Probab. Appl., 63:1 (2018), 151–154
Linking options:
https://www.mathnet.ru/eng/tvp5158https://doi.org/10.4213/tvp5158 https://www.mathnet.ru/eng/tvp/v63/i1/p186
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