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arXiv · 1310.8241

On mixtures of copulas and mixing coefficients

Martial Longla
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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 \textquotedblleft lower $ψ$-mixing\textquotedblright\ stationary Markov chains. This conclusion implies $ϕ$-mixing, $ρ$-mixing, $β$-mixing and \textquotedblleft interlaced $ρ$-mixing\textquotedblright . We also provide some new results on the mixing structure of Markov chains generated by mixtures of copulas.

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Martial Longla. 2015-03-20. On mixtures of copulas and mixing coefficients. https://arxiv.org/abs/1310.8241

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