On mixtures of copulas and mixing coefficients

Martial Longla

Journal of Multivariate Analysis, 2015, vol. 139, issue C, 259-265

Abstract: We show that if the density of the absolutely continuous part of a copula is bounded away from zero on a set of Lebesgue measure 1, then that copula generates “lower ψ-mixing” stationary Markov chains. This conclusion implies ϕ-mixing, ρ-mixing, β-mixing and “interlaced ρ-mixing”. We also provide some new results on the mixing structure of Markov chains generated by mixtures of copulas.

Keywords: Copula; Markov chains; Mixing coefficients; Mixture distributions; Ergodicity (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2015.03.009

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