Badanie wpływu wyboru współczynnika zależności na grupowanie szeregów czasowych
Simulation study of the selection of coefficient depending on the clustering time series
Author(s): Anna Czapkiewicz, Beata BasiuraSubject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: model Copula-GARCH; classification time series; disturbance of conditional distributions
Summary/Abstract: Simulation study investigated the properties of the Pearson correlation coefficient and the Copula-GARCH model parameter obtained by IFM method. Simulation study was also subjected to search how the correlation coefficient determination affected the clustering results. The study was conducted by Monte Carlo method.
Journal: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
- Issue Year: 2013
- Issue No: 279
- Page Range: 146-153
- Page Count: 8
- Language: Polish