Multivariate Markov Families of Copulas
Abstract: 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.
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Bibliographic citation
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Multivariate Markov Families of Copulas ; volume:3 ; number:1 ; year:2015 ; extent:13
Dependence modeling ; 3, Heft 1 (2015) (gesamt 13)
- Creator
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Overbeck, Ludger
Schmidt, Wolfgang M.
- DOI
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10.1515/demo-2015-0011
- URN
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urn:nbn:de:101:1-2411181546381.487776845150
- Rights
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Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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15.08.2025, 7:35 AM CEST
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Associated
- Overbeck, Ludger
- Schmidt, Wolfgang M.
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