Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae

DOI10.1214/EJP.V18-2238zbMATH Open1290.60072arXiv1105.2679OpenAlexW2156583328MaRDI QIDQ388912FDOQ388912

Authors: Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski 

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: This article continues our study of Markovian consistency and Markov copulae. In particular, we characterize the weak Markovian consistency for finite Markov chains. We discuss some aspects of dependence between the components of a multivariate Markov chain in the context of weak Markovian consistency and strong Markovian consistency. In this connection, we also introduce and discuss the concept of weak Markov copulae.

Full work available at URL: https://arxiv.org/abs/1105.2679

Recommendations

• On dependence structure of copula-based Markov chains
• Some aspects of modeling dependence in copula-based Markov chains
• Dependency in multivariate Markov chains
• A weakly dependence structure of multivariate processes
• Dependence and mixing for perturbations of copula-based Markov chains
• Modeling statistical dependence of Markov chains via copula models
• A note on independence copula for conditional Markov chains
• Copulas for Markovian dependence
• Multivariate Markov families of copulas

zbMATH Keywords

dependencecompensator of random measuremarginal lawMarkov consistencyMarkov copulaemultivariate Markov chain

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Continuous-time Markov processes on discrete state spaces (60J27)

Cited In (9)

• A note on independence copula for conditional Markov chains
• Statistical analysis of multivariate discrete-valued time series
• The Markov consistency of Archimedean survival processes
• Inhomogeneous time change equations for Markov chains and their applications
• Combining \(m\)-dependence with Markovness
• Title not available (Why is that?)
• A dynamic model of central counterparty risk
• Conditional Markov chains: properties, construction and structured dependence
• Study of dependence for some stochastic processes: symbolic Markov copulae

This page was built for publication: Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q388912)