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On dependence structure of copula-based Markov chains

Published online by Cambridge University Press:  10 October 2014

Martial Longla
Martial Longla*
Affiliation:
Department of Mathematics, University of Mississippi, University, MS 38677, USA. longla_m_martial@yahoo.com; mlongla@olemiss.edu

Abstract

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We consider dependence coefficients for stationary Markov chains. We emphasize on someequivalencies for reversible Markov chains. We improve some known results and provide anecessary condition for Markov chains based on Archimedean copulas to be exponentialρ-mixing.We analyse the example of the Mardia and Frechet copula families using small sets.

Keywords

Markov chainscopulamixingreversible processesergodicitysmall sets

Information

Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 18 , 2014, pp. 570 - 583
Copyright
© EDP Sciences, SMAI 2014

References

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