A copula-based approximation to Markov chains

DOI10.1007/s11425-019-1687-2zbMath1491.60124OpenAlexW3201553000MaRDI QIDQ2115302

Zhengyong Zhou, Jing-Ping Yang, Jie Hua Xie

Publication date: 15 March 2022

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-019-1687-2

zbMATH Keywords

copulaMarkov chain\(\beta\)-mixing property\(\partial\)-convergencecheckerboard copula-based Markov chain

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

• Estimation of copula-based semiparametric time series models
• Saddlepoint approximations for continuous-time Markov processes
• Large sample behavior of the Bernstein copula estimator
• Copula-based semiparametric models for multivariate time series
• Copulas for Markovian dependence
• Convolution copula econometrics
• Perturbation of bivariate copulas
• Some approximations of \(n\)-copulas
• Markov chains and stochastic stability
• An introduction to copulas.
• Semilinear copulas
• Bivariate copula decomposition in terms of comonotonicity, countermonotonicity and indepen\-dence
• Basic properties of strong mixing conditions. A survey and some open questions
• Efficient estimation of copula-based semiparametric Markov models
• Copulas and Markov processes
• Approximation of bivariate copulas by patched bivariate Fréchet copulas
• On mixtures of copulas and mixing coefficients
• Fuzzy semi-Markov migration process in credit risk
• On a new construction of 1-Lipschitz aggregation functions, quasi-copulas and copulas
• COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
• A Generalization of the Glivenko-Cantelli Theorem
• General Irreducible Markov Chains and Non-Negative Operators
• Markov operators and n-copulas
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• On Definitions of Bounded Variation for Functions of Two Variables
• Mixing and moments properties of a non-stationary copula-based Markov process
• Estimating checkerboard approximations with sample d-copulas
• Copulas and Temporal Dependence
• Principles of Copula Theory
• Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence
• On exponential bounds for mixing and the rate of convergence for Student processes
• Towards a Unified Approach for Proving Geometric Ergodicity and Mixing Properties of Nonlinear Autoregressive Processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• On Information and Sufficiency
• Probability
• Inequalities: theory of majorization and its applications
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A copula-based approximation to Markov chains