RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB
General information
Latest issue
Archive
Impact factor
Journal history

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Fundam. Prikl. Mat.:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Fundam. Prikl. Mat., 2018, Volume 22, Issue 3, Pages 127–144 (Mi fpm1808)  

Fitting time series with heavy tails and strong time dependence

A. E. Mazur

Lomonosov Moscow State University

Abstract: Earlier, a model of a time series with heavy tails constructed from a Gaussian time series was developed. In the present paper, the reverse problem is considered: an estimator of the copula function is built; the copula function is a nonlinear function that maps Gaussian variables to the variables from Fréchet maximum domain of attraction. The statistical properties of this estimator are considered for a stationary time series with a low rate of covariance decay.

Full text: PDF file (210 kB)
References: PDF file   HTML file

UDC: 519.217

Citation: A. E. Mazur, “Fitting time series with heavy tails and strong time dependence”, Fundam. Prikl. Mat., 22:3 (2018), 127–144

Citation in format AMSBIB
\Bibitem{Maz18}
\by A.~E.~Mazur
\paper Fitting time series with heavy tails and strong time dependence
\jour Fundam. Prikl. Mat.
\yr 2018
\vol 22
\issue 3
\pages 127--144
\mathnet{http://mi.mathnet.ru/fpm1808}


Linking options:
  • http://mi.mathnet.ru/eng/fpm1808
  • http://mi.mathnet.ru/eng/fpm/v22/i3/p127

    SHARE: VKontakte.ru FaceBook Twitter Mail.ru Livejournal Memori.ru


    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles
  • Фундаментальная и прикладная математика
    Number of views:
    This page:46
    Full text:15
    References:12

     
    Contact us:
     Terms of Use  Registration  Logotypes © Steklov Mathematical Institute RAS, 2019