Conditional Markov Chains Part II: Consistency and Copulae

2015/01/22 by Tomasz R. Bielecki, Bielecki, Tomasz R., Jacek Jakubowski +3 · 1 citation
Computer Science · Decision Sciences · Mathematics · #60G55 #60J27 #Bayesian Modeling and Causal Inference #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Simulation Techniques and Applications #math.PR #msc:60G55 #msc:60J27

paper · pdf · doi:10.48550/arxiv.1501.05535

openalex publication_date 2015/01/22 · arxiv created 2015/11/30 · arxiv updated 2015/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we continue the study of conditional Markov chains (CMCs) with finite state spaces, that we initiated in Bielecki, Jakubowski and Niewęgłowski (2015). Here, we turn our attention to the study of Markov consistency and Markov copulae with regard to CMCs, and thus we follow up on the study of Markov consistency and Markov copulae for ordinary Markov chains that we presented in Bielecki, Jakubowski and Niewęgłowski (2013).

Citations

• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Cited by

• Conditional Markov Chains Revisited Part I: Construction and properties

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