Copula Based Nonparametric Regression Estimation

The 8th International Conference APLIMAT 2009. Section: Differential Equations and Their Applications 2009
Andrejs Matvejevs, Kārlis Šadurskis

The methods and algorithms of time series analysis play an important role in financial econometrics for identification and prediction of risk. The paper deals with the identification and prediction problems of the autoregressive models of nonlinear time series using nonparametric estimates of the conditional mean and conditional variance.

Keywords
time series, Markov chain, regression model, statistical estimation,

Matvejevs, A., Šadurskis, K. Copula Based Nonparametric Regression Estimation. In: The 8th International Conference APLIMAT 2009. Section: Differential Equations and Their Applications, Slovakia, Bratislava, 3-6 February, 2009. Bratislava: Slovak University of Technology, 2009, pp.183-185. ISBN 9788089313310.

Publication language
English (en)