Wavelet-based estimation of conditional densities using FlexCode method
| Full text | |
| Author(s): |
Morettin, Pedro A.
;
Toloi, Clelia M. C.
;
Chiann, Chang
;
de Miranda, Jose C. S.
Total Authors: 4
|
| Document type: | Journal article |
| Source: | JOURNAL OF TIME SERIES ECONOMETRICS; v. 3, n. 3, p. 30-pg., 2011-10-01. |
| Abstract | |
In this paper, we consider estimating copulas for time series, under mixing conditions, using wavelet expansions. The proposed estimators are based on estimators of densities and distribution functions. Some statistical properties of the estimators are derived and their performance assessed via simulations. Empirical applications to real data are also given. (AU) | |
| FAPESP's process: | 08/51097-6 - Time Series, Dependence Analysis and Applications |
| Grantee: | Pedro Alberto Morettin |
| Support Opportunities: | Research Projects - Thematic Grants |