Modeling Dependence via Copula of Functionals of Fourier Coefficients

09/25/2018
by   Charles Fontaine, et al.
0

The goal of this paper is to develop a measure for characterizing complex dependence between stationary time series that cannot be captured by traditional measures such as correlation and coherence. Our approach is to use copula models of functionals of the Fourier coefficients which is a generalization of coherence. Here, we use standard parametric copula models with a single parameter both from elliptical and Archimedean families. Our approach is to analyze changes in local field potentials in the rat cortex prior to and immediately following the onset of stroke. We present the necessary theoretical background, the multivariate models and an illustration of our methodology on these local field potential data. Simulations with non-linear dependent data show information that were missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex non-linear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats.

READ FULL TEXT

page 1

page 2

page 3

page 4

research
09/24/2018

Modeling non-linear spectral domain dependence using copulas with applications to rat local field potentials

This paper intends to develop tools for characterizing non-linear spectr...
research
04/04/2018

Model assessment for time series dynamics using copula spectral densities: a graphical tool

Finding parametric models that accurately describe the dependence struct...
research
02/18/2022

Edge coherence in multiplex networks

This paper introduces a nonparametric framework for the setting where mu...
research
03/31/2021

Spectral Dependence

This paper presents a general framework for modeling dependence in multi...
research
06/13/2023

Topological Data Analysis for Directed Dependence Networks of Multivariate Time Series Data

Topological data analysis (TDA) approaches are becoming increasingly pop...
research
04/18/2020

Heritability curves: a local measure of heritability

This paper introduces a new measure of heritability which relaxes the cl...
research
12/26/2020

Resonance Frequencies of a Slab with Subwavelength Slits: a Fourier-transformation Approach

This paper proposes a novel, rigorous and simple Fourier-transformation ...

Please sign up or login with your details

Forgot password? Click here to reset