Modeling dependence via copula of functionals of Fourier coefficients

Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 generalizati...
Ausführliche Beschreibung

Gespeichert in:

Autor*in:	Fontaine, Charles [verfasserIn] Frostig, Ron D. [verfasserIn] Ombao, Hernando [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2020

Schlagwörter:	Coherence Dependence Fourier transform Parametric copulas Ranks Time series

Übergeordnetes Werk:	Enthalten in: TEST - Heidelberg [u.a.] : Springer, 1992, 29(2020), 4 vom: 13. März, Seite 1125-1144
Übergeordnetes Werk:	volume:29 ; year:2020 ; number:4 ; day:13 ; month:03 ; pages:1125-1144

Links:	Volltext

DOI / URN:	10.1007/s11749-020-00703-5

Katalog-ID:	SPR042236843

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520			\|a Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 from both elliptical and Archimedean families. Our approach is to analyze changes in activity 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 nonlinear dependent data reveal that there is information that is missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex nonlinear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats.
650		4	\|a Coherence \|7 (dpeaa)DE-He213
650		4	\|a Dependence \|7 (dpeaa)DE-He213
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650		4	\|a Parametric copulas \|7 (dpeaa)DE-He213
650		4	\|a Ranks \|7 (dpeaa)DE-He213
650		4	\|a Time series \|7 (dpeaa)DE-He213
700	1		\|a Frostig, Ron D. \|e verfasserin \|4 aut
700	1		\|a Ombao, Hernando \|e verfasserin \|4 aut
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912			\|a GBV_ILN_40
912			\|a GBV_ILN_60
912			\|a GBV_ILN_62
912			\|a GBV_ILN_63
912			\|a GBV_ILN_65
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912			\|a GBV_ILN_152
912			\|a GBV_ILN_161
912			\|a GBV_ILN_170
912			\|a GBV_ILN_171
912			\|a GBV_ILN_187
912			\|a GBV_ILN_213
912			\|a GBV_ILN_224
912			\|a GBV_ILN_230
912			\|a GBV_ILN_250
912			\|a GBV_ILN_281
912			\|a GBV_ILN_285
912			\|a GBV_ILN_293
912			\|a GBV_ILN_370
912			\|a GBV_ILN_602
912			\|a GBV_ILN_636
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912			\|a GBV_ILN_2004
912			\|a GBV_ILN_2005
912			\|a GBV_ILN_2006
912			\|a GBV_ILN_2007
912			\|a GBV_ILN_2008
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912			\|a GBV_ILN_2039
912			\|a GBV_ILN_2044
912			\|a GBV_ILN_2048
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912			\|a GBV_ILN_2064
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912			\|a GBV_ILN_2110
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912			\|a GBV_ILN_2143
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allfields	10.1007/s11749-020-00703-5 doi (DE-627)SPR042236843 (DE-599)SPRs11749-020-00703-5-e (SPR)s11749-020-00703-5-e DE-627 ger DE-627 rakwb eng 310 ASE 31.73 bkl Fontaine, Charles verfasserin aut Modeling dependence via copula of functionals of Fourier coefficients 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 from both elliptical and Archimedean families. Our approach is to analyze changes in activity 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 nonlinear dependent data reveal that there is information that is missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex nonlinear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats. Coherence (dpeaa)DE-He213 Dependence (dpeaa)DE-He213 Fourier transform (dpeaa)DE-He213 Parametric copulas (dpeaa)DE-He213 Ranks (dpeaa)DE-He213 Time series (dpeaa)DE-He213 Frostig, Ron D. verfasserin aut Ombao, Hernando verfasserin aut Enthalten in TEST Heidelberg [u.a.] : Springer, 1992 29(2020), 4 vom: 13. März, Seite 1125-1144 (DE-627)327576898 (DE-600)2044657-3 1863-8260 nnns volume:29 year:2020 number:4 day:13 month:03 pages:1125-1144 https://dx.doi.org/10.1007/s11749-020-00703-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 29 2020 4 13 03 1125-1144
spelling	10.1007/s11749-020-00703-5 doi (DE-627)SPR042236843 (DE-599)SPRs11749-020-00703-5-e (SPR)s11749-020-00703-5-e DE-627 ger DE-627 rakwb eng 310 ASE 31.73 bkl Fontaine, Charles verfasserin aut Modeling dependence via copula of functionals of Fourier coefficients 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 from both elliptical and Archimedean families. Our approach is to analyze changes in activity 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 nonlinear dependent data reveal that there is information that is missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex nonlinear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats. Coherence (dpeaa)DE-He213 Dependence (dpeaa)DE-He213 Fourier transform (dpeaa)DE-He213 Parametric copulas (dpeaa)DE-He213 Ranks (dpeaa)DE-He213 Time series (dpeaa)DE-He213 Frostig, Ron D. verfasserin aut Ombao, Hernando verfasserin aut Enthalten in TEST Heidelberg [u.a.] : Springer, 1992 29(2020), 4 vom: 13. März, Seite 1125-1144 (DE-627)327576898 (DE-600)2044657-3 1863-8260 nnns volume:29 year:2020 number:4 day:13 month:03 pages:1125-1144 https://dx.doi.org/10.1007/s11749-020-00703-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 29 2020 4 13 03 1125-1144
allfields_unstemmed	10.1007/s11749-020-00703-5 doi (DE-627)SPR042236843 (DE-599)SPRs11749-020-00703-5-e (SPR)s11749-020-00703-5-e DE-627 ger DE-627 rakwb eng 310 ASE 31.73 bkl Fontaine, Charles verfasserin aut Modeling dependence via copula of functionals of Fourier coefficients 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 from both elliptical and Archimedean families. Our approach is to analyze changes in activity 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 nonlinear dependent data reveal that there is information that is missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex nonlinear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats. Coherence (dpeaa)DE-He213 Dependence (dpeaa)DE-He213 Fourier transform (dpeaa)DE-He213 Parametric copulas (dpeaa)DE-He213 Ranks (dpeaa)DE-He213 Time series (dpeaa)DE-He213 Frostig, Ron D. verfasserin aut Ombao, Hernando verfasserin aut Enthalten in TEST Heidelberg [u.a.] : Springer, 1992 29(2020), 4 vom: 13. März, Seite 1125-1144 (DE-627)327576898 (DE-600)2044657-3 1863-8260 nnns volume:29 year:2020 number:4 day:13 month:03 pages:1125-1144 https://dx.doi.org/10.1007/s11749-020-00703-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 29 2020 4 13 03 1125-1144
allfieldsGer	10.1007/s11749-020-00703-5 doi (DE-627)SPR042236843 (DE-599)SPRs11749-020-00703-5-e (SPR)s11749-020-00703-5-e DE-627 ger DE-627 rakwb eng 310 ASE 31.73 bkl Fontaine, Charles verfasserin aut Modeling dependence via copula of functionals of Fourier coefficients 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 from both elliptical and Archimedean families. Our approach is to analyze changes in activity 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 nonlinear dependent data reveal that there is information that is missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex nonlinear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats. Coherence (dpeaa)DE-He213 Dependence (dpeaa)DE-He213 Fourier transform (dpeaa)DE-He213 Parametric copulas (dpeaa)DE-He213 Ranks (dpeaa)DE-He213 Time series (dpeaa)DE-He213 Frostig, Ron D. verfasserin aut Ombao, Hernando verfasserin aut Enthalten in TEST Heidelberg [u.a.] : Springer, 1992 29(2020), 4 vom: 13. März, Seite 1125-1144 (DE-627)327576898 (DE-600)2044657-3 1863-8260 nnns volume:29 year:2020 number:4 day:13 month:03 pages:1125-1144 https://dx.doi.org/10.1007/s11749-020-00703-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 29 2020 4 13 03 1125-1144
allfieldsSound	10.1007/s11749-020-00703-5 doi (DE-627)SPR042236843 (DE-599)SPRs11749-020-00703-5-e (SPR)s11749-020-00703-5-e DE-627 ger DE-627 rakwb eng 310 ASE 31.73 bkl Fontaine, Charles verfasserin aut Modeling dependence via copula of functionals of Fourier coefficients 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 from both elliptical and Archimedean families. Our approach is to analyze changes in activity 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 nonlinear dependent data reveal that there is information that is missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex nonlinear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats. Coherence (dpeaa)DE-He213 Dependence (dpeaa)DE-He213 Fourier transform (dpeaa)DE-He213 Parametric copulas (dpeaa)DE-He213 Ranks (dpeaa)DE-He213 Time series (dpeaa)DE-He213 Frostig, Ron D. verfasserin aut Ombao, Hernando verfasserin aut Enthalten in TEST Heidelberg [u.a.] : Springer, 1992 29(2020), 4 vom: 13. März, Seite 1125-1144 (DE-627)327576898 (DE-600)2044657-3 1863-8260 nnns volume:29 year:2020 number:4 day:13 month:03 pages:1125-1144 https://dx.doi.org/10.1007/s11749-020-00703-5 lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER SSG-OPC-MAT SSG-OPC-ASE GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_26 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_101 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 31.73 ASE AR 29 2020 4 13 03 1125-1144
language	English
source	Enthalten in TEST 29(2020), 4 vom: 13. März, Seite 1125-1144 volume:29 year:2020 number:4 day:13 month:03 pages:1125-1144
sourceStr	Enthalten in TEST 29(2020), 4 vom: 13. März, Seite 1125-1144 volume:29 year:2020 number:4 day:13 month:03 pages:1125-1144
format_phy_str_mv	Article
institution	findex.gbv.de
topic_facet	Coherence Dependence Fourier transform Parametric copulas Ranks Time series
dewey-raw	310
isfreeaccess_bool	false
container_title	TEST
authorswithroles_txt_mv	Fontaine, Charles @@aut@@ Frostig, Ron D. @@aut@@ Ombao, Hernando @@aut@@
publishDateDaySort_date	2020-03-13T00:00:00Z
hierarchy_top_id	327576898
dewey-sort	3310
id	SPR042236843
language_de	englisch
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author	Fontaine, Charles
spellingShingle	Fontaine, Charles ddc 310 bkl 31.73 misc Coherence misc Dependence misc Fourier transform misc Parametric copulas misc Ranks misc Time series Modeling dependence via copula of functionals of Fourier coefficients
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topic_title	310 ASE 31.73 bkl Modeling dependence via copula of functionals of Fourier coefficients Coherence (dpeaa)DE-He213 Dependence (dpeaa)DE-He213 Fourier transform (dpeaa)DE-He213 Parametric copulas (dpeaa)DE-He213 Ranks (dpeaa)DE-He213 Time series (dpeaa)DE-He213
topic	ddc 310 bkl 31.73 misc Coherence misc Dependence misc Fourier transform misc Parametric copulas misc Ranks misc Time series
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title	Modeling dependence via copula of functionals of Fourier coefficients
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title_full	Modeling dependence via copula of functionals of Fourier coefficients
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title_sort	modeling dependence via copula of functionals of fourier coefficients
title_auth	Modeling dependence via copula of functionals of Fourier coefficients
abstract	Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 from both elliptical and Archimedean families. Our approach is to analyze changes in activity 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 nonlinear dependent data reveal that there is information that is missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex nonlinear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats.
abstractGer	Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 from both elliptical and Archimedean families. Our approach is to analyze changes in activity 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 nonlinear dependent data reveal that there is information that is missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex nonlinear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats.
abstract_unstemmed	Abstract The goal of this paper is to develop a measure for characterizing complex dependence between 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 from both elliptical and Archimedean families. Our approach is to analyze changes in activity 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 nonlinear dependent data reveal that there is information that is missed by not taking into account dependence on specific frequencies. Moreover, these simulations demonstrate how our proposed method captures more complex nonlinear dependence between time series. Finally, we illustrate our copula-based approach in the analysis of local field potentials of rats.
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title_short	Modeling dependence via copula of functionals of Fourier coefficients
url	https://dx.doi.org/10.1007/s11749-020-00703-5
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author2	Frostig, Ron D. Ombao, Hernando
author2Str	Frostig, Ron D. Ombao, Hernando
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doi_str	10.1007/s11749-020-00703-5
up_date	2024-07-04T01:22:02.343Z
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Modeling dependence via copula of functionals of Fourier coefficients

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