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in stationary Markov chains using copula functions. We obtain sucient conditions for a geometric rate of mixing in models … of this kind. Geometric beta-mixing is established under a rather strong sucient condition that rules out asymmetry and … tail dependence in the copula function. Geometric rho-mixing is obtained under a weaker condition that permits both …
Persistent link: https://www.econbiz.de/10010536467
method to expand the test statistic around the population truth and establish asymptotic normality under $\beta -$mixing …
Persistent link: https://www.econbiz.de/10010536485
in stationary Markov chains using copula functions. We obtain conditions that imply a geometric rate of mixing in models … of this kind. A geometric rate of beta-mixing is shown to obtain under a rather strong condition that rules out asymmetry … and tail dependence in the copula function. Rho-mixing, which implies a geometric rate of alpha-mixing, is obtained under …
Persistent link: https://www.econbiz.de/10010817527
We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric orgodicityof the associated Markov chain. We verify our...
Persistent link: https://www.econbiz.de/10010817548