Intricacies of Dependence between Components of Multivariate Markov Chains: Weak Markov Consistency and Markov Copulae
Probability
2013-03-12 v5
Abstract
This article continues our study of Markovian consistency and Markov copulae. In particular, we characterize the weak Markovian consistency for finite Markov chains. We discuss some aspects of dependence between the components of a multivariate Markov chain in the context of weak Markovian consistency and strong Markovian consistency. In this connection, we also introduce and discuss the concept of weak Markov copulae.
Keywords
Cite
@article{arxiv.1105.2679,
title = {Intricacies of Dependence between Components of Multivariate Markov Chains: Weak Markov Consistency and Markov Copulae},
author = {Tomasz R. Bielecki and Jacek Jakubowski and Mariusz Niewęgłowski},
journal= {arXiv preprint arXiv:1105.2679},
year = {2013}
}
Comments
19 pages