Copula-Based Univariate Time Series Structural Shift Identification Test

Henry Penikas

Papers from arXiv.org

Abstract: An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components.

Date: 2016-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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