Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2005-05-11
Number: 05-043/1
Author-Name: Cees Diks
Author-Email: C.G.H.Diks@uva.nl
Author-Workplace-Name: Faculty of Economics and Econometrics, Universiteit van Amsterdam
Author-Name: Florian Wagener
Author-Email: F.O.O.Wagener@uva.nl
Author-Workplace-Name: Faculty of Economics and Econometrics, Universiteit van Amsterdam
Title: Equivalence and Bifurcations of Finite Order Stochastic Processes
Abstract: This article presents an equivalence notion of finite order stochastic processes. Local dependence measures are defined in terms of joint and marginal densities. The dependence measures are classified topologically using level sets. The corresponding bifurcation theory is illustrated with some simple examples.
Classification-JEL: C14
Keywords: Stochastic processes; structural stability; copula density; bifurcations
File-Url: https://papers.tinbergen.nl/05043.pdf
File-Format: application/pdf
File-Size: 1704334 bytes
Handle: RePEc:tin:wpaper:20050043