Equivalence and Bifurcations of Finite Order Stochastic Processes
Tinbergen Institute Discussion Paper No. TI05-043/1
27 Pages Posted: 21 May 2005
Date Written: April 2005
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.
Keywords: Stochastic processes, structural stability, copula density, befurcations
JEL Classification: C14
Suggested Citation: Suggested Citation