On dependence structure of copula-based Markov chains. (10th October 2014)
- Record Type:
- Journal Article
- Title:
- On dependence structure of copula-based Markov chains. (10th October 2014)
- Main Title:
- On dependence structure of copula-based Markov chains
- Authors:
- Longla, Martial
- Abstract:
- <abstract abstract-type="normal" xml:lang="en"> <title> <x content-type="archive" xml:space="preserve">Abstract</x> </title> <p>We consider dependence coefficients for stationary Markov chains. We emphasize on some equivalencies for reversible Markov chains. We improve some known results and provide a necessary condition for Markov chains based on Archimedean copulas to be exponential <italic>Ï</italic>-mixing. We analyse the example of the Mardia and Frechet copula families using small sets.</p> </abstract>
- Is Part Of:
- ESAIM. Volume 18(2014)
- Journal:
- ESAIM
- Issue:
- Volume 18(2014)
- Issue Display:
- Volume 18, Issue 2014 (2014)
- Year:
- 2014
- Volume:
- 18
- Issue:
- 2014
- Issue Sort Value:
- 2014-0018-2014-0000
- Page Start:
- 570
- Page End:
- 583
- Publication Date:
- 2014-10-10
- Subjects:
- Probabilities -- Periodicals
Mathematical statistics -- Periodicals
519.2 - Journal URLs:
- http://www.esaim-ps.org/action/displayJournal?jid=PSS ↗
http://www.edpsciences.org/ps/ ↗
http://www.emath.fr/Maths/Ps/ps.html ↗ - DOI:
- 10.1051/ps/2013052 ↗
- Languages:
- English
- ISSNs:
- 1292-8100
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 4376.xml