\beta-mixing and moments properties of a non-stationary copula-based Markov process
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Publication:6285191
arXiv1704.01458MaRDI QIDQ6285191FDOQ6285191
Authors: Fabio Gobbi, Sabrina Mulinacci 
Publication date: 5 April 2017
Abstract: This paper provides conditions under which a non-stationary copula-based Markov process is -mixing. We introduce, as a particular case, a convolution-based gaussian Markov process which generalizes the standard random walk allowing the increments to be dependent.
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20)
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