arXiv Open Access 2017

$β$-mixing and moments properties of a non-stationary copula-based Markov process

Fabio Gobbi Sabrina Mulinacci

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Abstrak

This paper provides conditions under which a non-stationary copula-based Markov process is $β$-mixing. We introduce, as a particular case, a convolution-based gaussian Markov process which generalizes the standard random walk allowing the increments to be dependent.

Topik & Kata Kunci

math.ST

Penulis (2)

Fabio Gobbi

Sabrina Mulinacci

Format Sitasi

APA MLA BibTeX

Gobbi, F., Mulinacci, S. (2017). $β$-mixing and moments properties of a non-stationary copula-based Markov process. https://arxiv.org/abs/1704.01458

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Informasi Jurnal

Tahun Terbit: 2017
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓