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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 05-043/1.
Date of creation: 11 May 2005
Date of revision:
Contact details of provider:
Web page: http://www.tinbergen.nl
Stochastic processes; structural stability; copula density; bifurcations;
Other versions of this item:
- Florian Wagener & Cees Diks, 2005. "Equivalence and bifurcations of finite order stochastic processes," Working Papers wp05-05, Warwick Business School, Finance Group.
- Diks C.G.H. & Wagener, F.O.O., 2005. "Equivalence and bifurcations of finite order stochastic processes," CeNDEF Working Papers 05-09, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Saralees Nadarajah & Kosto Mitov & Samuel Kotz, 2003. "Local dependence functions for extreme value distributions," Journal of Applied Statistics, Taylor & 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Antoine Maartens (+31 626 - 160 892)).
If references are entirely missing, you can add them using this form.