Copulas for Markovian dependence

DOI10.3150/09-BEJ214MaRDI QIDQ453262zbMATHFDO

Authors Andreas Nordvall Lagerås

Publication date 19 September 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.2548

zbMATH Keywords

Markov chainexchangeabilitycopulasMarkov process

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Continuous-time Markov processes on general state spaces (60J25)

Abstract: Copulas have been popular to model dependence for multivariate distributions, but have not been used much in modelling temporal dependence of univariate time series. This paper demonstrates some difficulties with using copulas even for Markov processes: some tractable copulas such as mixtures between copulas of complete co- and countermonotonicity and independence (Fr'{e}chet copulas) are shown to imply quite a restricted type of Markov process and Archimedean copulas are shown to be incompatible with Markov chains. We also investigate Markov chains that are spreadable or, equivalently, conditionally i.i.d.

Recommendations

• Multivariate Markov families of copulas
• Copulas and temporal dependence
• Archimedean copulas and temporal dependence
• On dependence structure of copula-based Markov chains
• Some aspects of modeling dependence in copula-based Markov chains

Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• An introduction to copulas.
• Copulas and Markov processes
• Copulas: Tales and facts (with discussion)
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions

Cited in

(31)

• Skew-\(t\) copula-based semiparametric Markov chains
• Spatially homogeneous copulas
• Archimedean copulas and temporal dependence
• Copulas related to Manneville-Pomeau processes
• On the copula correlation ratio and its generalization
• Vine copula specifications for stationary multivariate Markov chains
• Markov product invariance in classes of bivariate copulas characterized by univariate functions
• Copulas, chaotic processes and time series: a survey
• Multivariate Markov families of copulas
• A novel copula-based approach for parametric estimation of univariate time series through its covariance decay
• Copulas and Markov processes
• Stochastic monotonicity and the Markov product for copulas
• Idempotent copulæ: ordinal sums and Archimedean copulæ
• Copula-based Markov process
• On dependence structure of copula-based Markov chains
• Several algorithms for constructing copulas via \(\ast\)-product decompositions
• Study of dependence for some stochastic processes: symbolic Markov copulae
• Dependence and mixing for perturbations of copula-based Markov chains
• Modeling statistical dependence of Markov chains via copula models
• Ordinal sums: from triangular norms to bi- and multivariate copulas
• A copula model for marked point processes
• Intricacies of dependence between components of multivariate Markov chains: weak Markov consistency and weak Markov copulae
• Copulas and temporal dependence
• Copulas and long memory
• COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
• A copula-based approximation to Markov chains
• A copula-based method to build diffusion models with prescribed marginal and serial dependence
• A copula-based model of speculative price dynamics in discrete time
• Some aspects of modeling dependence in copula-based Markov chains
• The Markov consistency of Archimedean survival processes
• Copulas from the Fokker-Planck equation

This page was built for publication: Copulas for Markovian dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q453262)