COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES

DOI10.1017/S0266466609090720zbMath1277.60123MaRDI QIDQ3181950

Rustam Ibragimov

Publication date: 30 September 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Continuous-time Markov processes on general state spaces (60J25)

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Uses Software

• QRM

Cites Work

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