Volume 18, 2014
|Page(s)||570 - 583|
|Published online||10 October 2014|
On dependence structure of copula-based Markov chains
Revised: 1 June 2013
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 analyse the example of the Mardia and Frechet copula families using small sets.
Mathematics Subject Classification: 60J20 / 60J35 / 37A30
Key words: Markov chains / copula / mixing / reversible processes / ergodicity / small sets
© EDP Sciences, SMAI 2014
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