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Curve of correlation for time series. (English) Zbl 1347.62195
Summary: 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.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05 Nonparametric estimation
60G10 Stationary stochastic processes
62H20 Measures of association (correlation, canonical correlation, etc.)
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