<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="6.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">Pumi, Guilherme</style></author><author><style face="normal" font="default" size="100%">Prass, Taiane S.</style></author><author><style face="normal" font="default" size="100%">Lopes, Sílvia R.C.</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">A novel copula-based approach for parametric estimation of univariate time series through its covariance decay</style></title></titles><dates><year><style  face="normal" font="default" size="100%">2024</style></year><pub-dates><date><style  face="normal" font="default" size="100%">2024</style></date></pub-dates></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://doi.org/10.1007/s00362-023-01418-z</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">65</style></volume><pages><style face="normal" font="default" size="100%">1041 - 1063</style></pages><isbn><style face="normal" font="default" size="100%">1613-9798</style></isbn><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p&gt;In this note we develop a new technique for parameter estimation of univariate time series by means of a parametric copula approach. The proposed methodology is based on a relationship between a process’ covariance decay and parametric bivariate copulas associated to lagged variables. This relationship provides a way for estimating parameters that are identifiable through the process’ covariance decay, such as in long range dependent processes. We provide a rigorous asymptotic theory for the proposed estimator. We also present a Monte Carlo simulation study to asses the finite sample performance of the proposed estimator.&lt;/p&gt;
</style></abstract><issue><style face="normal" font="default" size="100%">2</style></issue><notes><style face="normal" font="default" size="100%">n/a</style></notes></record></records></xml>