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Equivalence and Bifurcations of Finite Order Stochastic Processes


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  • Cees Diks

    (Faculty of Economics and Econometrics, Universiteit van Amsterdam)

  • Florian Wagener

    (Faculty of Economics and Econometrics, Universiteit van Amsterdam)


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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Bibliographic 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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Keywords: Stochastic processes; structural stability; copula density; bifurcations;

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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, Springer, vol. 7(2), pages 263-276.
  2. Saralees Nadarajah & Kosto Mitov & Samuel Kotz, 2003. "Local dependence functions for extreme value distributions," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(10), pages 1081-1100.
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