Far East Journal of Theoretical Statistics
Volume 4, Issue 2, Pages 363 - 382
(December 2000)
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ON
THE DEPENDENCE STRUCTURE OF STOCHASTIC PROCESSES AND
CORRESPONDING HITTING TIMES
Jong-Il Baek (Republic of Korea), Tae-Sung Kim (Republic of Korea) and Jae-Hak Lim (Republic of Korea)
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Abstract: In
this paper, new results are obtained for multivariate
processes, which help us to identify weakly dependent
structure among hitting times of the processes,
furthermore, an approach to derive dependence
properties are proposed and a partial solution to the
question that what kinds of weakly dependence
properties, when we are imposed on processes, are
reflected as analogous properties of corresponding
hitting times is given. |
Keywords and phrases: WPOD, uo-cx(lo-cv), associated,
stochastically increasing, extreme dependence
function, Brown motion, hitting times. |
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