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Equivalence and bifurcations of finite order stochastic processes

By Cees Diks and Florian O. O. Wagener

Abstract

This article presents an equivalence notion of finite order stochastic processes. Local dependence measures\ud are defined in terms of ratios of joint and marginal probability densities. The dependence measures\ud are classified topologically using level sets. The corresponding bifurcation theory is illustrated with\ud some simple examples

Topics: HB, QA
Publisher: Warwick Business School, Financial Econometrics Research Centre
Year: 2005
OAI identifier: oai:wrap.warwick.ac.uk:1776

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