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On Dependence Structure of Copula-based Markov chains
Published 24 Jul 2012 in math.ST, math.PR, and stat.TH | (1207.5762v4)
Abstract: We consider dependence coefficients for stationary Markov chains. We emphasize on some equivalencies for reversible Markov chains. We improve some known results and provide a necessary condition for Markov chains based on Archimedean copulas to be exponential $\rho$-mixing. We analyze the example of the Mardia and Frechet copula families using small sets.
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