Open Access
May 2010 Copulas for Markovian dependence
Andreas N. Lagerås
Bernoulli 16(2): 331-342 (May 2010). DOI: 10.3150/09-BEJ214


Copulas have been popular to model dependence for multivariate distributions, but have not been used much in modelling temporal dependence of univariate time series. This paper demonstrates some difficulties with using copulas even for Markov processes: some tractable copulas such as mixtures between copulas of complete co- and countermonotonicity and independence (Fréchet copulas) are shown to imply quite a restricted type of Markov process and Archimedean copulas are shown to be incompatible with Markov chains. We also investigate Markov chains that are spreadable or, equivalently, conditionally i.i.d.


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Andreas N. Lagerås. "Copulas for Markovian dependence." Bernoulli 16 (2) 331 - 342, May 2010.


Published: May 2010
First available in Project Euclid: 25 May 2010

zbMATH: 1323.60100
MathSciNet: MR2668904
Digital Object Identifier: 10.3150/09-BEJ214

Keywords: copulas , exchangeability , Markov chain , Markov process

Rights: Copyright © 2010 Bernoulli Society for Mathematical Statistics and Probability

Vol.16 • No. 2 • May 2010
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