On dependence structure of copula-based Markov chains
ESAIM: Probability and Statistics, Tome 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 : https://doi.org/10.1051/ps/2013052
Classification : 60J20,  60J35,  37A30
Mots clés : Markov chains, copula, mixing, reversible processes, ergodicity, small sets
@article{PS_2014__18__570_0,
author = {Longla, Martial},
title = {On dependence structure of copula-based Markov chains},
journal = {ESAIM: Probability and Statistics},
pages = {570--583},
publisher = {EDP-Sciences},
volume = {18},
year = {2014},
doi = {10.1051/ps/2013052},
zbl = {1308.60087},
language = {en},
url = {http://www.numdam.org/articles/10.1051/ps/2013052/}
}
Longla, Martial. On dependence structure of copula-based Markov chains. ESAIM: Probability and Statistics, Tome 18 (2014) , pp. 570-583. doi : 10.1051/ps/2013052. http://www.numdam.org/articles/10.1051/ps/2013052/

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