This paper focuses on the analysis of long-memory properties of copula-based time series. We show via simulations that there exist Clayton copula-based stationary Markov processes that exhibit long memory on the level of copulas. This long memory is captured by an extremely slow hyperbolic decay...

We develop a general approach to robust inference about a scalar parameter when the data is potentially heterogeneous and correlated in a largely unknown way. The key ingredient is the following result of Bakirov and Sz´ekely (2005) concerning the small sample properties of the standard t-test:...

This paper develops a new unified approach to copula-based modeling and characterizations for time series and stochastic processes. We obtain complete characterizations of many time series dependence structures in terms of copulas corresponding to their finite-dimensional distributions. In...