Flexible and Dynamic Modeling of Dependencies via Copulas

摘要: In this chapter we first review recent developments in the use of copulas for studying dependence structures between variables. We discuss and illustrate concepts unconditional conditional association measures, a bivariate setting. Statistical inference is discussed, various modeling settings. Modeling dynamics structure time series particular interest. For present semiparametric approach using local polynomial approximation dynamic parameter function. Throughout provide some illustrative examples. The proposed dynamical demonstrated analysis forecast wind speed data.