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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.
Year of publication:
2005-05-11
Authors: Diks, Cees ; Wagener, Florian
Institutions: Tinbergen Institute
Subject: Stochastic processes | structural stability | copula density | bifurcations
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application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
The text is part of a series Tinbergen Institute Discussion Papers Number 05-043/1
Classification: C14 - Semiparametric and Nonparametric Methods
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Persistent link: https://www.econbiz.de/10005137320
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