Time irreversible copula-based Markov models

DOI10.1017/S0266466614000115MaRDI QIDQ6486641zbMATH OpenOpenAlexFDO

Authors Brendan K. Beare, Juwon Seo

Publication date 14 November 2014

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466614000115

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) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 1944026 (Why is no real title available?)
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Cited in

(18)

• Detecting Directionality in Time Series
• Vine copula specifications for stationary multivariate Markov chains
• A test of symmetry based on L-moments with an application to the business cycles of the G7 economies
• Time reversibility of stationary regular finite-state Markov chains
• Statistics for tail processes of Markov chains
• Randomization tests of copula symmetry
• A copula spectral test for pairwise time reversibility
• Peaks, gaps, and time‐reversibility of economic time series
• The integrated copula spectrum
• A statistical test for time reversibility of stationary finite state Markov chains
• Time sensitive functionals of marked Cox processes
• Graphical and formal statistical tools for the symmetry of bivariate copulas
• Threshold autoregressive models for directional time series
• A review of copula models for economic time series
• GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
• A copula-based approximation to Markov chains
• Copula-based Markov process
• Asymmetric copulas and their application in design of experiments

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