On Dependence Structure of Copula-based Markov chains
Statistics Theory
2013-06-20 v4 Probability
Statistics Theory
Abstract
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 -mixing. We analyze the example of the Mardia and Frechet copula families using small sets.
Keywords
Cite
@article{arxiv.1207.5762,
title = {On Dependence Structure of Copula-based Markov chains},
author = {Martial Longla},
journal= {arXiv preprint arXiv:1207.5762},
year = {2013}
}