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Exponential Convergence For Markov Systems

100%

Ślęczka M.

Annales Mathematicae Silesianae

2015

tom 29

nr 1

139-149

Markov operators arising from graph directed constructions of iterated function systems are considered. Exponential convergence to an invariant measure is proved.

Multivariate Markov Families of Copulas

76%

Overbeck L., Schmidt W. M.

Dependence Modeling

2015

tom 3

nr 1

For the Markov property of a multivariate process, a necessary and suficient condition on the multidimensional copula of the finite-dimensional distributions is given. This establishes that the Markov property is solely a property of the copula, i.e., of the dependence structure. This extends results by Darsow et al. [11] from dimension one to the multivariate case. In addition to the one-dimensional case also the spatial copula between the different dimensions has to be taken into account. Examples are also given.

Ograniczanie wyników

1 Annales Mathematicae Silesianae

1 Dependence Modeling

1 Overbeck L.

1 Schmidt W. M.

1 Ślęczka M.

2 2015

Wyniki wyszukiwania

Exponential Convergence For Markov Systems

Multivariate Markov Families of Copulas