Equivalence and bifurcations of finite order stochastic processes
AbstractThis 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.
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Bibliographic InfoPaper provided by Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance in its series CeNDEF Working Papers with number 05-09.
Date of creation: 2005
Date of revision:
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Other versions of this item:
- Cees Diks & Florian Wagener, 2005. "Equivalence and Bifurcations of Finite Order Stochastic Processes," Tinbergen Institute Discussion Papers 05-043/1, Tinbergen Institute.
- Florian Wagener & Cees Diks, 2005. "Equivalence and bifurcations of finite order stochastic processes," Working Papers wp05-05, Warwick Business School, Financial Econometrics Research Centre.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- Saralees Nadarajah & Kosto Mitov & Samuel Kotz, 2003. "Local dependence functions for extreme value distributions," Journal of Applied Statistics, Taylor and Francis Journals, vol. 30(10), pages 1081-1100.
- Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé, 2003. "Exponential growth of fixed-mix strategies in stationary asset markets," Finance and Stochastics, Springer, vol. 7(2), pages 263-276.
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