COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
- 1 February 2009
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 25 (3) , 819-846
Abstract
In this paper, we obtain characterizations of higher order Markov processes in terms of copulas corresponding to their finite-dimensional distributions. The results are applied to establish necessary and sufficient conditions for Markov processes of a given order to exhibitm-dependence,r-independence, or conditional symmetry. The paper also presents a study of applicability and limitations of different copula families in constructing higher order Markov processes with the preceding dependence properties. We further introduce new classes of copulas that allow one to combine Markovness withm-dependence orr-independence in time series.Keywords
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