Copulas, Chaotic Processes and Time Series: a Survey

Autores

  • Guilherme Pumi Mathematics Institute - Federal University of Rio Grande do Sul
  • Silvia R.C. Lopes Mathematics Institute - Federal University of Rio Grande do Sul

DOI:

https://doi.org/10.11606/issn.2316-9028.v8i2p241-264

Palavras-chave:

Chaotic Processes, Copulas, Interval Maps, Invariant Measures, Parametric Estimation.

Resumo

In this work we summarize some of recent and classical results on the role played by copulas in the analysis of chaotic processes and univariate time series. We review some aspects of the copulas related to chaotic process, its properties and applications. We also present a review on classical and modern approaches to understand the relationship among random variables in Markov processes as well as short and long memory time series as well as ergodic properties of copula-based Markov processes.

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Publicado

2014-12-12

Como Citar

Pumi, G., & Lopes, S. R. (2014). Copulas, Chaotic Processes and Time Series: a Survey. São Paulo Journal of Mathematical Sciences, 8(2), 241-264. https://doi.org/10.11606/issn.2316-9028.v8i2p241-264

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