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Cyclocopula Technique to Study the Relationship Between Two Cyclostationary Time Series with Fractional Brownian Motion Errors

EasyChair Preprint 8278

16 pagesDate: June 16, 2022

Abstract

Detection of relationship between two time series is so important in environmental and hydrological studies. Several parametric and non-parametric approaches can be applied to detect relationships. These techniques are usually sensitive to stationarity assumption. In this research, a new copula- based method is introduced to detect the relationship between two cylostationary time series with fractional Brownian motion (fBm) errors. The numerical studies verify the performance of the introduced approach.

Keyphrases: Cyclostationary, Regression, copula, fractional Brownian motion, time series

BibTeX entry
BibTeX does not have the right entry for preprints. This is a hack for producing the correct reference:
@booklet{EasyChair:8278,
  author    = {Mohammadreza Mahmoudi and Amir Mosavi},
  title     = {Cyclocopula Technique to Study the Relationship Between Two Cyclostationary Time Series with Fractional Brownian Motion Errors},
  howpublished = {EasyChair Preprint 8278},
  year      = {EasyChair, 2022}}
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