| Title:
|
Copula approach to residuals of regime-switching models (English) |
| Author:
|
Petričková, Anna |
| Author:
|
Komorníková, Magda |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
48 |
| Issue:
|
3 |
| Year:
|
2012 |
| Pages:
|
550-566 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series. (English) |
| Keyword:
|
autocopula |
| Keyword:
|
time series |
| Keyword:
|
residuals |
| Keyword:
|
regime-switching models |
| MSC:
|
62A10 |
| MSC:
|
93E12 |
| idMR:
|
MR2975806 |
| . |
| Date available:
|
2012-08-31T16:03:46Z |
| Last updated:
|
2013-09-24 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/142956 |
| . |
| Reference:
|
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