Model assessment for time series dynamics using copula spectral densities: A graphical tool-Reference-Cited by-同舟云学术

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Model assessment for time series dynamics using copula spectral densities: A graphical tool

Published:2019-07 Issue: Volume:172 Page:122-146
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Birr Stefan,Kley Tobias,Volgushev Stanislav

Funder

Engineering and Physical Sciences Research Council, UK

Natural Sciences and Engineering Research Council of Canada

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference30 articles.

1. Goodness of fit tests for spectral distributions;Anderson;Ann. Statist.,1993

2. Problèmes de l’analyse spectral des séries temporelles stationnaires;Bartlett;Publ. Inst. Statist. Univ. Paris,1954

3. An Introduction to Stochastic Processes: with Special Reference to Methods and Applications;Bartlett,1978

4. Quantile coherency: A general measure for dependence between cyclical economic variables;Baruník;Econom. J.,2019

5. QPBoot: Model Validation using quantile spectral analysis and parametric bootstrap;Birr,2017

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