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Estimation of a measure of local correlation for independent samples and time series data (2013)

  • Authors:
  • USP affiliated authors: LATIF, SUMAIA ABDEL - EACH ; MORETTIN, PEDRO ALBERTO - IME
  • USP Schools: EACH; IME
  • DOI: 10.1007/s13571-012-0039-y
  • Subjects: ANÁLISE DE SÉRIES TEMPORAIS
  • Language: Inglês
  • Imprenta:
  • Source:
    • Título do periódico: Sankhya B
    • ISSN: 0976-8386
    • Volume/Número/Paginação/Ano: v. 75, n. 1, p.42\201364, 2013
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    Informações sobre o DOI: 10.1007/s13571-012-0039-y (Fonte: oaDOI API)
    • Este periódico é de assinatura
    • Este artigo é de acesso aberto
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    Versões disponíveis em Acesso Aberto do: 10.1007/s13571-012-0039-y (Fonte: Unpaywall API)

    Título do periódico: Sankhya B

    ISSN: 0976-8386,0976-8394

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    Informações sobre o Citescore
  • Título: Sankhya B

    ISSN: 0976-8386

    Citescore - 2017: 0.08

    SJR - 2017: 0.1

    SNIP - 2017: 0


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    • ABNT

      LATIF, Sumaia Abdel; MORETTIN, Pedro Alberto. Estimation of a measure of local correlation for independent samples and time series data. Sankhya B, Calcutta, Springer India, v. 75, n. 1, p. 42\201364, 2013. Disponível em: < http://dx.doi.org/10.1007/s13571-012-0039-y > DOI: 10.1007/s13571-012-0039-y.
    • APA

      Latif, S. A., & Morettin, P. A. (2013). Estimation of a measure of local correlation for independent samples and time series data. Sankhya B, 75( 1), 42\201364. doi:10.1007/s13571-012-0039-y
    • NLM

      Latif SA, Morettin PA. Estimation of a measure of local correlation for independent samples and time series data [Internet]. Sankhya B. 2013 ; 75( 1): 42\201364.Available from: http://dx.doi.org/10.1007/s13571-012-0039-y
    • Vancouver

      Latif SA, Morettin PA. Estimation of a measure of local correlation for independent samples and time series data [Internet]. Sankhya B. 2013 ; 75( 1): 42\201364.Available from: http://dx.doi.org/10.1007/s13571-012-0039-y

    Referências citadas na obra
    Anjos, U.U. and Kolev, N.V. (2005). Representation of Bivariate Copulas via Local Measure of Dependence. Tech. Rep. RT I59 2005, Department of Statistics, Institute of Mathematics and Statistics, University of São Paulo, São Paulo, Brazil.
    Bairamov, I., Kotz, S. and Kozubowski, T.J. (2003). A new measure of linear local dependence. Statistics, 37, 243–258.
    Bjerve, S. and Doksum, K. (1993). Correlation curves: measures of association as functions of covariate values. Ann. Statist., 21, 890–902.
    Bosq, D. (1998). Nonparametric statistics for stochastic process, 2nd ed. Springer-Verlag, New York.
    Bradley, B.O. and Taqqu, M.S. (2005). How to estimate spatial contagion between financial markets. Financ. Lett., 3, 64–76.
    Fermanian, J.-D. and Scaillet, O. (2003). Nonparametric estimation of copulas for time series. J. Risk, 5, 25–54.
    Fuller, W.A. (1996). Introduction to statistical time series, 2nd ed. John Wiley & Sons, New York.
    Härdle, W. (1991). Smoothing techniques: with implementation in S. Springer Verlag, New York.
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    Holland, P.W. and Wang, Y.J. (1987). Dependence function for continuous bivariate densities. Comm. Statist. Theory Methods, 16, 863–876.
    Kotz, S. and Nadarajah, S. (2003). Local dependence functions for elliptically symmetric distributions. Sankhyã, 65, 207–223.
    Latif, S.A. and Morettin, P.A. (2009). Estimation of Sibuya’s measure of local dependence. Estadística, 61, 121–147.
    Latif, S.A. and Morettin, P.A. (2011). Nonparametric estimation of Sinuya’s measure of local dependence for time series. Adv. Appl. Stat., 23, 1–27.
    Latif, S.A. and Morettin, P.A. (2012a). Curve of correlation of Bjerve and Doksum for time series. Working paper.
    Latif, S.A. and Morettin, P.A. (2012b). Estimation of Spearman-type measure of local dependence. Int. J. Stat. Econ., 8, 43–69.
    Mari, D.D. and Kotz, S. (2001). Correlation and dependence. Imperial College Press, London.
    Morettin, P.A., Toloi, C.M.C., Chiann, C. and De Miranda, J.C.S. (2011). Wavelet estimation of copulas for time series. J. Time Ser. Econom., 3, 1–29.
    Nadarajah, S., Mitov, K. and Kotz, S. (2003). Local dependence functions for extreme value distributions. J. Appl. Stat., 10, 1081–1100.
    Nadaraya, E.A. (1964). On estimating regression. Theory Probab. Appl., 9, 141–142.
    Nelsen, R.B. (2006). An Introduction to Copulas, 2nd ed. Springer, New York.
    Sibuya, M. (1960). Bivariate extreme statistics. Ann. Inst. Statist. Math., 11, 195–210.
    Watson, G.S. (1964). Smooth regression analysis. Sankhyã A., 26, 359–372.