Equivalence and Bifurcations of Finite Order Stochastic Processes

This article presents an equivalence notion of finite order stochastic processes. Local dependence measures are defined in terms of joint and marginal densities. The dependence measures are classified topologically using level sets. The corresponding bifurcation theory is illustrated with some simple examples.

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Year of publication:	2005
Authors:	Diks, Cees ; Wagener, Florian
Publisher:	Amsterdam and Rotterdam : Tinbergen Institute
Subject:	Stochastischer Prozess \| Nichtparametrisches Verfahren \| Theorie \| Stochastic processes \| structural stability \| copula density \| bifurcations

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Series:	Tinbergen Institute Discussion Paper ; 05-043/1
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	836167562 [GVK] hdl:10419/86477 [Handle] RePEc:dgr:uvatin:20050043 [RePEc]
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10010325437