Multivariate Markov Families of Copulas-Reference-Cited by-同舟云学术

Multivariate Markov Families of Copulas

Published:2015-10-26 Issue:1 Volume:3 Page:
ISSN:2300-2298
Container-title:Dependence Modeling
language:
Short-container-title:

Author:

Overbeck Ludger¹,Schmidt Wolfgang M.²

Affiliation:

1. 1Justus-Liebig Universität Gießen, Institut of Mathematics, 35392 Gießen

2. 2Frankfurt School of Finance and Management, Sonnemannstr. 9-11, 60314 Frankfurt am Main

Abstract

AbstractFor the Markov property of a multivariate process, a necessary and suficient condition on the multidimensional copula of the finite-dimensional distributions is given. This establishes that the Markov property is solely a property of the copula, i.e., of the dependence structure. This extends results by Darsow et al. [11] from dimension one to the multivariate case. In addition to the one-dimensional case also the spatial copula between the different dimensions has to be taken into account. Examples are also given.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Link

https://www.degruyter.com/document/doi/10.1515/demo-2015-0011/pdf

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