Open AccessNonparametric estimation of copulas for time series
Author(s) -
JeanDavid Fermanian,
Olivier Scaillet
Publication year - 2003
Publication title -
the journal of risk
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.224
H-Index - 11
eISSN - 1755-2842
pISSN - 1465-1211
DOI - 10.21314/jor.2003.082
Subject(s) - autoregressive model , nonparametric statistics , estimator , mathematics , univariate , econometrics , gaussian process , series (stratigraphy) , multivariate statistics , monte carlo method , gaussian , statistics , paleontology , physics , quantum mechanics , biology
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