A copula-based method to build diffusion models with prescribed marginal and serial dependence

DOI10.1007/S11009-016-9487-6zbMATH Open1351.60107arXiv1509.02319OpenAlexW2963056138MaRDI QIDQ340123FDOQ340123

Authors: Enrico Bibbona, Laura Sacerdote, Emiliano Torre 

Publication date: 11 November 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Abstract: This paper investigates the probabilistic properties that determine the existence of space-time transformations between diffusion processes. We prove that two diffusions are related by a monotone space-time transformation if and only if they share the same serial dependence. The serial dependence of a diffusion process is studied by means of its copula density and the effect of monotone and non-monotone space-time transformations on the copula density is discussed. This provides us a methodology to build diffusion models by freely combining prescribed marginal behaviors and temporal dependence structures. Explicit expressions of copula densities are provided for tractable models. A possible application in neuroscience is sketched as a proof of concept.

Full work available at URL: https://arxiv.org/abs/1509.02319

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zbMATH Keywords

copulasstochastic differential equationsserial dependencediffusionsspace-time transformations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (8)

• Modern Challenges and Interdisciplinary Interactions via Mathematical, Statistical, and Computational Models
• From weakly chaotic dynamics to deterministic subdiffusion via copula modeling
• Diffusion-type models with given marginal distribution and autocorrelation function
• On Copula-Itô processes
• Copula-based Markov process
• Tensor approximation of generalized correlated diffusions and functional copula operators
• Time evolutions of copulas and foreign exchange markets
• Construction of a class of copula using the finite difference method

Uses Software

• R
• CopulaModel

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