A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
- Citation:
- Pumi, G, Prass TS, Lopes SRC. 2023. A novel copula-based approach for parametric estimation of univariate time series through its covariance decay. Statistical Papers.
Abstract:
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.
