Copulas related to Manneville-Pomeau processes

DOI10.1214/12-BJPS184zbMATH Open1298.62082arXiv1109.2628OpenAlexW2964152666MaRDI QIDQ470362FDOQ470362

Authors: Sílvia R. C. Lopes, Guilherme Pumi 

Publication date: 12 November 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: In this work we derive the copulas related to Manneville-Pomeau processes. We examine both bidimensional and multidimensional cases and derive some properties for the related copulas. Computational issues, approximations and random variate generation problems are addressed and simple numerical experiments to test the approximations developed are also performed. In particular, we propose an approximation to the copulas derived which we show to converge uniformly to the true copula. To illustrate the usefulness of the theory, we derive a fast procedure to estimate the underlying parameter in Manneville-Pomeau processes.

Full work available at URL: https://arxiv.org/abs/1109.2628

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zbMATH Keywords

copulasinvariant measuresManneville-Pomeau processes

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Nonuniformly hyperbolic systems (Lyapunov exponents, Pesin theory, etc.) (37D25)

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Cited In (5)

• Coupling of Wiener processes by using copulas
• From weakly chaotic dynamics to deterministic subdiffusion via copula modeling
• Parameter estimation in Manneville-Pomeau processes
• Copulas related to piecewise monotone functions of the interval and associated processes
• On copulas of self-similar Ito processes

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