Some aspects of modeling dependence in copula-based Markov chains.
Martial LonglaMagda PeligradPublished in: J. Multivar. Anal. (2012)
Keyphrases
- markov chain
- steady state
- monte carlo simulation
- markov process
- finite state
- markov processes
- markov model
- random walk
- monte carlo
- state space
- transition probabilities
- dependence structure
- transition matrix
- stochastic process
- stationary distribution
- monte carlo method
- probabilistic automata
- assemble to order systems
- probability density function
- learning algorithm
- confidence intervals
- relative entropy
- sample path
- random variables