1,721,191 research outputs found
Measure-preserving transformations, copulae and compatibility
Full text linkWe study the relationship between copulas and measure-preserving transformations on the Borel sets of the u it interval. This also allows to investigate the connection with a restricted compatibility problem for copulas. To this end, in order to construct a 3-copula from two given 2-copulas A and B, we modify the *-operation introduced by Darsow et al., show that A*B is always compatible with A and B, and study the set D(A,B) of all copulas comaptible with A and
On a family of copulas constructed from the diagonal section
Full text linkWe characterize the class of copulas that can be
constructed from the diagonal section by means of the functional
equation C(x, y) + |x − y| = C(x ∨ y, x ∨ y), for
all (x, y) in the unit square such that C(x, y) > 0. Some
statistical properties of this class are given
L∞-measure of non-exchangeability for bivariate extreme value and Archimax copulas
No full textAbstractIn the class of bivariate extreme value copulas, an upper bound is calculated for the measure of non-exchangeability μ∞ based on the L∞-norm distance between a copula C and its transpose Ct(x,y)=C(y,x). Copulas that are maximally non-exchangeable with respect to μ∞ are also determined. Moreover, similar upper bounds are given, respectively, for the class of all EV copulas having a fixed upper tail dependence coefficient and for the larger class of Archimax copulas
Discrete copulas
Full text linkIn this paper we will discuss the structure and properties of discrete copulas in a specialcase when both marginal discrete distribution functions coincide, i.e., they correspond to the
uniform probability distribution on the set {0, 1/n, 2/n, . . . , (n−1)/n } and thus F(i/n)= G(i/n) = i/n, i = 0, 1, . . . , n
Copulas with given values on a horizontal and a vertical section
Full text linkIn this paper we study the set of copulas for which both a horizontal section and a vertical section have been given. We give a general construction for copulas of this type and we provide the lower and upper copulas with these sections. Some examples are presented
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