Equivalence and bifurcations of finite order stochastic processes

Cees Diks () and Florian Wagener

No 05-09, CeNDEF Working Papers from Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance

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.

Date: 2005
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Working Paper: Equivalence and Bifurcations of Finite Order Stochastic Processes (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ams:ndfwpp:05-09

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