Fitting Time Series with Heavy Tails and Strong Time Dependence
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DOI: 10.1007/s10958-021-05324-3
Abstract: Earlier, a model of a time series with heavy tails constructed from a Gaussian time series was developed. In the present paper, the reverse problem is considered: an estimator of the copula function is built;… read more here.
Keywords: time; heavy tails; series heavy; time series ... See more keywords