Periodic Copula to Study the Relationship Between Two Cyclostationary Time Series with Fractional Brownian Motion Errors

EasyChair Preprint 7790

Abstract

Detection of the 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

@booklet{EasyChair:7790,
  author    = {Mohammad Reza Mahmoudi and Amir Mosavi},
  title     = {Periodic Copula to Study the Relationship Between Two Cyclostationary Time Series with Fractional Brownian Motion Errors},
  howpublished = {EasyChair Preprint 7790},
  year      = {EasyChair, 2022}}