Curve of Correlation for Time Series

Autor(es)

Latif, Sumaia A. ^[1] ; Morettin, Pedro A. ^[2]

Afiliação do(s) autor(es)

^[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

• Tipo de documento: Artigo Científico
• Fonte: COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION; v. 45, n. 8, p. 2792-2809, 2016.
• Citações Web of Science: 1

Resumo

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)

• Processo FAPESP: 08/51097-6 - Séries temporais, análise de dependência e aplicações
• Beneficiário: Pedro Alberto Morettin
• Modalidade de apoio: Auxílio à Pesquisa - Temático