A Meta-Distribution for Non-Stationary Samples

CREATES Research Paper 2009-24

25 Pages Posted: 3 Jun 2009

See all articles by Dominique Guegan

Dominique Guegan

Ecole Normale Superieure de Cachan

Date Written: June 2, 2009

Abstract

In this paper, we focus on the building of an invariant distribution function associated to a non-stationary sample. After discussing some specific problems encountered by non-stationarity inside samples like the 'spurious' long memory effect, we build a sequence of stationary processes permitting to define the concept of meta-distribution for a given non-stationary sample. We use this new approach to discuss some interesting econometric issues in a non-stationary setting, namely forecasting and risk management strategy.

Keywords: non-stationarity, copula, long-memory, switching, cumulants, estimation theory

JEL Classification: C32, C51, G12

Suggested Citation

Guegan, Dominique, A Meta-Distribution for Non-Stationary Samples (June 2, 2009). CREATES Research Paper 2009-24, Available at SSRN: https://ssrn.com/abstract=1413111 or http://dx.doi.org/10.2139/ssrn.1413111

Dominique Guegan (Contact Author)

Ecole Normale Superieure de Cachan ( email )

61 avenue du President Wilson
Cachan
France

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