相关论文: Perturbations of copulas and Mixing properties
This paper explores the impact of perturbations of copulas on dependence properties of the Markov chains they generate. We use an observation that is valid for convex combinations of copulas to establish sufficient conditions for the mixing…
This paper brings some insights of $\psi'$-mixing, $\psi^*$-mixing and $\psi$-mixing for copula-based Markov chains and the perturbations of their copulas. We provide new tools to check Markov chains for $\psi$-mixing or $\psi'$-mixing, and…
In this paper, we study dependence coefficients for copula-based Markov chains. We provide new tools to check the convergence rates of mixing coefficients of copula-based Markov chains. We study Markov chains generated by the…
This chapter surveys progress on three related topics in perturbations of Markov chains: the motivating question of when and how "perturbed" MCMC chains are developed, the theoretical problem of how perturbation theory can be used to…
Perturbation analysis of Markov chains provides bounds on the effect that a change in a Markov transition matrix has on the corresponding stationary distribution. This paper compares and analyzes bounds found in the literature for finite…
We show that if the density of the absolutely continuous part of a copula is bounded away from zero on a set of Lebesgue measure 1, then that copula generates \textquotedblleft lower $\psi$-mixing\textquotedblright\ stationary Markov…
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…
We consider perturbations of positive recurrent Markov modulated fluid models. In addition to the infinitesimal generator of the phases, we also perturb the rate matrix, and analyze the effect of those perturbations on the matrix of first…
We are interested in studying the sensitivity of diffusion processes or their approximations by Markov Chains with respect to a perturbation of the coefficients.
We characterize absolutely continuous symmetric copulas with square integrable densities in this paper. This characterization is used to create new copula families, that are perturbations of the independence copula. The full study of mixing…
Copulas have been popular to model dependence for multivariate distributions, but have not been used much in modelling temporal dependence of univariate time series. This paper demonstrates some difficulties with using copulas even for…
Computational procedures for the stationary probability distribution, the group inverse of the Markovian kernel and the mean first passage times of an irreducible Markov chain, are developed using perturbations. The derivation of these…
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…
Dependence coefficients have been widely studied for Markov processes defined by a set of transition probabilities and an initial distribution. This work clarifies some aspects of the theory of dependence structure of Markov chains…
The basic question in perturbation analysis of Markov chains is: how do small changes in the transition kernels of Markov chains translate to chains in their stationary distributions? Many papers on the subject have shown, roughly, that the…
The effect of perturbations of parameters for uniquely convergent imprecise Markov chains is studied. We provide the maximal distance between the distributions of original and perturbed chain and maximal degree of imprecision, given the…
We develop a convergent variational perturbation theory for conditional probability densities of Markov processes. The power of the theory is illustrated by applying it to the diffusion of a particle in an anharmonic potential.
This work provides a study of parameter estimators based on functions of Markov chains generated by some perturbations of the independence copula. We provide asymptotic distributions of maximum likelihood estimators and confidence intervals…
The paper is largely of a review nature. It considers two main methods used to study stability and obtain appropriate quantitative estimates of perturbations of (inhomogeneous) Markov chains with continuous time and a finite or countable…
The equivalence of regularity of a Q-matrix with its bounded perturbations is proved and a integration by parts formula is established for the associated Feller minimal transition functions.