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Equivalence and Bifurcations of Finite Order Stochastic Processes

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Author Info
Cees Diks () (Faculty of Economics and Econometrics, Universiteit van Amsterdam)
Florian Wagener () (Faculty of Economics and Econometrics, Universiteit van Amsterdam)

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Abstract

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.

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Publisher Info
Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 05-043/1.

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Date of creation: 11 May 2005
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Handle: RePEc:dgr:uvatin:20050043

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Web page: http://www.tinbergen.nl/

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Related research
Keywords: Stochastic processes; structural stability; copula density; bifurcations;

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

References listed on IDEAS
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  1. 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. [Downloadable!] (restricted)
  2. 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, December. [Downloadable!] (restricted)
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