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Article Dans Une Revue Physical Review E : Statistical, Nonlinear, and Soft Matter Physics Année : 2014

Copulas and time series with long-ranged dependencies

Résumé

We review ideas on temporal dependencies and recurrences in discrete time series from several areas of natural and social sciences. We revisit existing studies and redefine the relevant observables in the language of copulas (joint laws of the ranks). We propose that copulas provide an appropriate mathematical framework to study nonlinear time dependencies and related concepts--like aftershocks, Omori law, recurrences, and waiting times. We also critically argue, using this global approach, that previous phenomenological attempts involving only a long-ranged autocorrelation function lacked complexity in that they were essentially monoscale.

Dates et versions

hal-00977135 , version 1 (10-04-2014)

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Rémy Chicheportiche, Anirban Chakraborti. Copulas and time series with long-ranged dependencies. Physical Review E : Statistical, Nonlinear, and Soft Matter Physics, 2014, 89, pp.042117. ⟨10.1103/PhysRevE.89.042117⟩. ⟨hal-00977135⟩
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