Equivalence and Bifurcations of Finite Order Stochastic Processes

Diks, Cees G. H.; Wagener, Florian

doi:10.2139/ssrn.725446

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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

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: 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