Title: Pair circulas modelling for circular multivariate time series
Authors: Hiroaki Ogata - Tokyo Metropolitan University (Japan) [presenting]
Abstract: Modelling multivariate circular time series is considered. The cross-sectional and serial dependence is described by circulas, which are analogs of copulas for circular distributions. Due to a simple expression of the dependence structure, we decompose a multivariate circula density to a product of several pair circula densities. Moreover, in order to reduce the number of pair circula densities, we consider strictly stationary multi-order Markov processes. Some simulation studies are provided to see the behavior of the proposed model.