On Dependence Structure of Copula-based Markov chains

2012/07/24 by Longla, Martial · 1 citation
#FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1207.5762

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 ρ-mixing. We analyze the example of the Mardia and Frechet copula families using small sets.

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