Copula-based Markov process

DOI10.1016/j.insmatheco.2020.01.006zbMath1435.62177OpenAlexW3003188663MaRDI QIDQ2306101

Yong Liu, Jun Fang, Fan Jiang, Jing-Ping Yang

Publication date: 20 March 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.01.006

zbMATH Keywords

copulatransition functionconsistency of a bivariate copula familycopula-based Markov processmodified partial Dini derivative

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov processes: hypothesis testing (62M02)

Related Items

MULTIVARIATE COMPOSITE COPULAS

Uses Software

• QRM

Cites Work

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