{"paper":{"title":"A copula-based method to build diffusion models with prescribed marginal and serial dependence","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["stat.ME"],"primary_cat":"math.PR","authors_text":"Emiliano Torre, Enrico Bibbona, Laura Sacerdote","submitted_at":"2015-09-08T10:48:05Z","abstract_excerpt":"This paper investigates the probabilistic properties that determine the existence of space-time transformations between diffusion processes. We prove that two diffusions are related by a monotone space-time transformation if and only if they share the same serial dependence. The serial dependence of a diffusion process is studied by means of its copula density and the effect of monotone and non-monotone space-time transformations on the copula density is discussed. This provides us a methodology to build diffusion models by freely combining prescribed marginal behaviors and temporal dependence"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1509.02319","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}