Cyclocopula Technique to Study the Relationship Between Two Cyclostationary Time Series with Fractional Brownian Motion Errors

06/16/2022

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by   Mohammadreza Mahmoudi, et al.

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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 assumptions. 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.