Equivalence and Bifurcations of Finite Order Stochastic Processes

Tinbergen Institute Discussion Paper No. TI05-043/1

27 Pages Posted: 21 May 2005

See all articles by Cees G. H. Diks

Cees G. H. Diks

University of Amsterdam - Faculty of Economics and Business (FEB); Tinbergen Institute - Tinbergen Institute Amsterdam (TIA)

Florian Wagener

University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) - Department of Quantitative Economics; Tinbergen Institute

Date Written: April 2005

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.

Keywords: Stochastic processes, structural stability, copula density, befurcations

JEL Classification: C14

Suggested Citation

Diks, Cees G. H. and Wagener, Florian O.O., Equivalence and Bifurcations of Finite Order Stochastic Processes (April 2005). Tinbergen Institute Discussion Paper No. TI05-043/1. Available at SSRN: https://ssrn.com/abstract=725446 or http://dx.doi.org/10.2139/ssrn.725446

Cees G. H. Diks (Contact Author)

University of Amsterdam - Faculty of Economics and Business (FEB) ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands
+31 20 525 53 29 (Phone)
+31 20 525 4349 (Fax)

Tinbergen Institute - Tinbergen Institute Amsterdam (TIA) ( email )

Gustav Mahlerplein 117
Amsterdam, 1082 MS
Netherlands

Florian O.O. Wagener

University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance (CeNDEF) - Department of Quantitative Economics ( email )

Roetersstraat 11
Amsterdam, 1018 WB
Netherlands

Tinbergen Institute ( email )

Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands

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