Diks, Cees and Wagener, Florian O. O. (2005) Equivalence and bifurcations of finite order stochastic processes. Working Paper. Warwick Business School, Financial Econometrics Research Centre, Coventry.

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Abstract

This article presents an equivalence notion of finite order stochastic processes. Local dependence measures are defined in terms of ratios of joint and marginal probability densities. The dependence measures are classified topologically using level sets. The corresponding bifurcation theory is illustrated with some simple examples.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HB Economic Theory Q Science > QA Mathematics
Divisions:	Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Equivalence classes (Set theory), Bifurcation theory, Stochastic processes, Dependence (Statistics)
Series Name:	Working papers (Warwick Business School. Financial Econometrics Research Centre)
Publisher:	Warwick Business School, Financial Econometrics Research Centre
Place of Publication:	Coventry
Date:	25 April 2005
Number:	No.05-
Number of Pages:	30
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
Funder:	Nederlandse Organisatie voor Wetenschappelijk Onderzoek [Netherlands Organisation for Scientific Research] (NWO)
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URI:	http://wrap.warwick.ac.uk/id/eprint/1776

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