Exchangeable copulas and m-dependent copulas
Document Type
Lecture
Publication Date
2-9-2023
Abstract
I will talk about a new set of copulas that I have been dealing with. I obtained these copulas while searching for conditions to have a Markov chain that is exchangeable. In the process, I was dragged into m-dependent Markov chains, and ended up providing a characterization of some families of copulas that I call m-dependent copulas, idempotent copulas and exchangeable copulas. Exchangeable copulas remind me of De Finetti’s theorem. The large sample theory of parameter estimators has been done for these families under The assumption that the Data has uniform marginal distribution.
Relational Format
presentation
Recommended Citation
Longla, Martial, "Exchangeable copulas and m-dependent copulas" (2023). Probability & Statistics Seminar. 22.
https://egrove.olemiss.edu/math_statistics/22
