Multivariate Markov Families of Copulas
Ludger Overbeck ; Wolfgang M. Schmidt
Dependence Modeling, Tome 3 (2015), / Harvested from The Polish Digital Mathematics Library
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For 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.

Publié le : 2015-01-01
EUDML-ID : urn:eudml:doc:275965 
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     author = {Ludger Overbeck and Wolfgang M. Schmidt},
     title = {Multivariate Markov Families of Copulas},
     journal = {Dependence Modeling},
     volume = {3},
     year = {2015},
     zbl = {1335.60134},
     language = {en},
     url = {http://dml.mathdoc.fr/item/bwmeta1.element.doi-10_1515_demo-2015-0011}
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Ludger Overbeck; Wolfgang M. Schmidt. Multivariate Markov Families of Copulas. Dependence Modeling, Tome 3 (2015) . http://gdmltest.u-ga.fr/item/bwmeta1.element.doi-10_1515_demo-2015-0011/

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