Copulas, Chaotic Processes and Time Series: a Survey
DOI:
https://doi.org/10.11606/issn.2316-9028.v8i2p241-264Palavras-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.Downloads
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Publicado
2014-12-12
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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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