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Statistics seminar: "A Convolution-based Autoregressive process"

Seminario di Statistica

09/05/2013 dalle 16:00 alle 18:00

Dove Dipartimento di Scienze Statistiche - Via Belle Arti 41 - Aula I

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Relatore

Fabio Gobbi

University of Bologna

 

Abstract

We propose a convolution based approach to the analysis of a first order autoregressive process. In particular, we remove the assumption of independence between the lagged state variable and the innovation. We use a copula function to model the dependence structure and the C-convolution operator to recover the distribution of the process. In the case of Gaussian copulas we study some asymptotic properties and we show that it can be rewritten in terms of a time-dependent autoregressive coefficient linked to the copula parameter.