TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS

DOI10.1017/S0266466614000115zbMath1314.62122OpenAlexW2134080025MaRDI QIDQ2929840

Juwon Seo, Brendan K. Beare

Publication date: 14 November 2014

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466614000115

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (15)

Threshold Autoregressive Models for Directional Time Series ⋮ A copula spectral test for pairwise time reversibility ⋮ Peaks, gaps, and time‐reversibility of economic time series ⋮ A review of copula models for economic time series ⋮ GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS ⋮ A test of symmetry based on L-moments with an application to the business cycles of the G7 economies ⋮ Statistics for tail processes of Markov chains ⋮ Vine Copula Specifications for Stationary Multivariate Markov Chains ⋮ Asymmetric Copulas and Their Application in Design of Experiments ⋮ Copula-based Markov process ⋮ RANDOMIZATION TESTS OF COPULA SYMMETRY ⋮ Graphical and formal statistical tools for the symmetry of bivariate copulas ⋮ Detecting Directionality in Time Series ⋮ The integrated copula spectrum ⋮ A copula-based approximation to Markov chains

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