On dependence structure of copula-based Markov chains
ESAIM: Probability and Statistics, Volume 18 (2014), pp. 570-583.

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.

DOI: 10.1051/ps/2013052
Classification: 60J20,  60J35,  37A30
Keywords: Markov chains, copula, mixing, reversible processes, ergodicity, small sets
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title = {On dependence structure of copula-based {Markov} chains},
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Longla, Martial. On dependence structure of copula-based Markov chains. ESAIM: Probability and Statistics, Volume 18 (2014), pp. 570-583. doi : 10.1051/ps/2013052. http://www.numdam.org/articles/10.1051/ps/2013052/

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