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reversible processes

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On dependence structure of copula-based Markov chains
Martial Longla
Journal:

ESAIM: Probability and Statistics / Volume 18 / 2014

Published online by Cambridge University Press:

10 October 2014, pp. 570-583

Print publication:

2014
- Article
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We consider dependence coefficients for stationary Markov chains. We emphasize on someequivalencies for reversible Markov chains. We improve some known results and provide anecessary condition for Markov chains based on Archimedean copulas to be exponentialρ-mixing.We analyse the example of the Mardia and Frechet copula families using small sets.