On mixtures of copulas and mixing coefficients

JOURNAL OF MULTIVARIATE ANALYSIS

卷:139

Article

Longla, Martial

关键词: Copula;    Markov chains;    Mixing coefficients;    Mixture distributions;    Ergodicity;   

DOI  :  10.1016/j.jmva.2015.03.009

来源: Elsevier

【 摘 要 】

We show that if the density of the absolutely continuous part of a copula is bounded away from zero on a set of Lebesgue measure 1, then that copula generates lower psi-mixing stationary Markov chains. This conclusion implies phi-mixing, rho-mixing, beta-mixing and interlaced rho-mixing. We also provide some new results on the mixing structure of Markov chains generated by mixtures of copulas. (C) 2015 Elsevier Inc. All rights reserved.

【 授权许可】

Free