Curve of Correlation for Time Series |
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Authors: | Sumaia A Latif Pedro A Morettin |
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Institution: | 1. School of Arts, Science and Humanities, University of S?o Paulo, S?o Paulo, Brazilsalatif@usp.br;3. Department of Statistics, Institute of Mathematics and Statistics, University of S?o Paulo, S?o Paulo, Brazil |
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Abstract: | The curve of correlation is a measure of local correlation between two random variables X and Y at the point X = x of the support of this variable. This article studies this local measure using the theory of time series for bivariate and univariate stationary stochastic process. We suggest local polynomial estimators for time series observing their consistency both theoretically and through simulations. For this, different sizes of series, bandwidths, and kernels, besides lags and models’ configurations were used. Applications have also been made using the daily returns of two financial series. |
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Keywords: | Kernel Local dependence Nonparametric estimation Time series |
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