Cherubini, Umberto; Mulinacci, Sabrina; Romagnoli, Silvia - In: Journal of Multivariate Analysis 102 (2011) 6, pp. 1047-1063
This paper suggests a new technique to construct first order Markov processes using products of copula functions, in the spirit of Darsow et al. (1992) [10]. The approach requires the definition of (i) a sequence of distribution functions of the increments of the process, and (ii) a...
