Copulas for Markovian dependence

DOI10.3150/09-BEJ214zbMath1323.60100arXiv0812.2548MaRDI QIDQ453262

Andreas Nordvall Lagerås

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.2548

zbMATH Keywords

copulasMarkov processMarkov chainexchangeability

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Continuous-time Markov processes on general state spaces (60J25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites Work

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• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Copulas and Markov processes
• Copulas: Tales and facts (with discussion)

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