Approximation by mutually completely dependent processes

DOI10.1016/0021-9045(91)90122-QMaRDI QIDQ811005zbMATH OpenOpenAlexFDO

Authors Richard A. Vitale

Publication date 1991

Published in Journal of Approximation Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0021-9045(91)90122-q

zbMATH Keywords

approximating processmutually completely dependent process

Mathematics Subject Classification ID

General theory of stochastic processes (60G07)

Review text

The paper brings a very particular proof of the theorem that any stochastic process indexed on the integers can be approximated arbitrarily well in the \(L_{\infty}\) sense by a so-called mutually completely dependent process i.e. by such a stochastic process in which each value is (essentially) a 1-1 image of any other value. If, moreover, the original process has continuous one-dimensional marginal distributions, then these can be replicated in the approximating process.

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Cites work

• Approximation theorems for Markov operators
• Correlation and Complete Dependence of Random Variables
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• scientific article; zbMATH DE number 218925 (Why is no real title available?)
• scientific article; zbMATH DE number 222634 (Why is no real title available?)
• Monotone dependence

Cited in

(7)

• Multivariate copulas with hairpin support
• A measure of mutual complete dependence
• Approximating a sequence of observations by a simple process
• On the approximation of copulas via shuffles of Min
• Strong approximation of continuous time stochastic processes
• Some approximations of \(n\)-copulas
• Freedom in constructing quasi-copulas vs. copulas

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