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Convolution Copula Econometrics
توضیحات

This book presents a novel approach to time series econometrics, which studies the behavior of nonlinear stochastic processes. This approach allows for an arbitrary dependence structure in the increments and provides a generalization with respect to the standard linear independent increments assumption of classical time series models. The book offers a solution to the problem of a general semiparametric approach, which is given by a concept called C-convolution (convolution of dependent variables), and the corresponding theory of convolution-based copulas. Intended for econometrics and statistics scholars with a special interest in time series analysis and copula functions (or other nonparametric approaches), the book is also useful for doctoral students with a basic knowledge of copula functions wanting to learn about the latest research developments in the field.

نویسنده

Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci (auth.)
  • قیمت
    15,000 تومان
  • زبان
    english
  • سال
    1
  • ناشر
    Springer International Publishing
  • شابک
    978-3-319-48015-2

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