Some aspects of modeling dependence in copula-based Markov chains

DOI10.1016/J.JMVA.2012.01.025zbMATH Open1301.60089arXiv1107.1794OpenAlexW2033843995MaRDI QIDQ444977FDOQ444977

Authors: Martial Longla, Magda Peligrad 

Publication date: 24 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: Dependence coefficients have been widely studied for Markov processes defined by a set of transition probabilities and an initial distribution. This work clarifies some aspects of the theory of dependence structure of Markov chains generated by copulas that are useful in time series econometrics and other applied fields. The main aim of this paper is to clarify the relationship between the notions of geometric ergodicity and geometric { ho}-mixing; namely, to point out that for a large number of well known copulas, such as Clayton, Gumbel or Student, these notions are equivalent. Some of the results published in the last years appear to be redundant if one takes into account this fact. We apply this equivalence to show that any mixture of Clayton, Gumbel or Student copulas generate both geometrically ergodic and geometric { ho}-mixing stationary Markov chains, answering in this way an open question in the literature. We shall also point out that a sufficient condition for { ho}-mixing, used in the literature, actually implies Doeblin recurrence.

Full work available at URL: https://arxiv.org/abs/1107.1794

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zbMATH Keywords

copulaMarkov chainsmixing conditionsreversible processes

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Transition functions, generators and resolvents (60J35)

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Cited In (26)

• New robust confidence intervals for the mean under dependence
• Copulas for Markovian dependence
• Copulas and temporal dependence
• Archimedean copulas and temporal dependence
• Vine copula specifications for stationary multivariate Markov chains
• Copula-based time series with filtered nonstationarity
• An exponential inequality for U-statistics under mixing conditions
• Perturbations of copulas and mixing properties
• Dependence and mixing for perturbations of copula-based Markov chains
• Robust inference of risks of large portfolios
• Remarks on the speed of convergence of mixing coefficients and applications
• COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
• On the product of random variables and moments of sums under dependence
• New copula families and mixing properties
• Stationary vine copula models for multivariate time series
• Mixing and moments properties of a non-stationary copula-based Markov process
• Time series with infinite-order partial copula dependence
• A copula-based approximation to Markov chains
• Title not available (Why is that?)
• On mixtures of copulas and mixing coefficients
• Copula-based Markov process
• Modeling Dependencies with Copulae
• On dependence structure of copula-based Markov chains
• Copulas and Markov processes
• Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae
• On some basic features of strictly stationary, reversible Markov chains

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