Archimedean Copulas And Temporal Dependence
We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric ergodicity of the associated Markov chain. We verify our assumptions for a range of Archimedean copulas used in applications.
Volume (Year): 28 (2012)
Issue (Month): 06 (December)
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