Abstract
Earlier, a model of a time series with heavy tails constructed from a Gaussian time series was developed. In the present paper, the reverse problem is considered: an estimator of the copula function is built; the copula function is a nonlinear function that maps Gaussian variables to the variables from the Fréchet maximum domain of attraction. The statistical properties of this estimator are considered for a stationary time series with a low rate of covariance decay.
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Translated from Fundamentalnaya i Prikladnaya Matematika, Vol. 22, No. 3, pp. 127–144, 2018.
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Mazur, A.E. Fitting Time Series with Heavy Tails and Strong Time Dependence. J Math Sci 254, 537–549 (2021). https://doi.org/10.1007/s10958-021-05324-3
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DOI: https://doi.org/10.1007/s10958-021-05324-3