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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Curve of Correlation for Time Series

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Author(s):
Latif, Sumaia A. [1] ; Morettin, Pedro A. [2]
Total Authors: 2
Affiliation:
[1] Univ Sao Paulo, Sch Arts Sci & Humanities, Rua Arlindo Bettio, 1000 Ermelino Matarazzo, BR-03828000 Sao Paulo - Brazil
[2] Univ Sao Paulo, Inst Math & Stat, Dept Stat, Sao Paulo - Brazil
Total Affiliations: 2
Document type: Journal article
Source: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION; v. 45, n. 8, p. 2792-2809, 2016.
Web of Science Citations: 1
Abstract

The curve of correlation is a measure of local correlation between two random variables X and Y at the point X = x of the support of this variable. This article studies this local measure using the theory of time series for bivariate and univariate stationary stochastic process. We suggest local polynomial estimators for time series observing their consistency both theoretically and through simulations. For this, different sizes of series, bandwidths, and kernels, besides lags and models' configurations were used. Applications have also been made using the daily returns of two financial series. (AU)

FAPESP's process: 08/51097-6 - Time Series, Dependence Analysis and Applications
Grantee:Pedro Alberto Morettin
Support Opportunities: Research Projects - Thematic Grants