Perturbations of copulas and Mixing properties
Probability
2021-06-11 v2 Statistics Theory
Statistics Theory
Abstract
This paper explores the impact of perturbations of copulas on the dependence properties of the Markov chains they generate. We consider Markov chains generated by perturbed copulas. Results are provided for the mixing coefficients , and . Several results are provided on mixing for the considered perturbations. New copula functions are provided in connection with perturbations of variables that induce other types of perturbation of copulas not considered in the literature.
Cite
@article{arxiv.2101.04573,
title = {Perturbations of copulas and Mixing properties},
author = {Martial Longla and Fidel Djongreba Ndikwa and Mathias Muia Nthiani and Patrice Takam Soh},
journal= {arXiv preprint arXiv:2101.04573},
year = {2021}
}
Comments
22 pages, 3 figures, journal article