Copulas for Markovian dependence

DOI10.3150/09-BEJ214zbMATH Open1323.60100arXiv0812.2548MaRDI QIDQ453262FDOQ453262

Authors: Andreas Nordvall Lagerås 

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

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.

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

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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)

Cites Work

• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Copulas and Markov processes
• Title not available (Why is that?)
• Copulas: Tales and facts (with discussion)

Cited In (27)

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

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