Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations
نویسندگان
چکیده
منابع مشابه
Characterization of copulas with given diagonal and opposite diagonal sections
In recent years special attention has been devoted to the problem of finding a copula, the diagonal section and opposite diagonal section of which are known. For given diagonal function and opposite diagonal functions, we provide necessary and sufficient conditions for the existence of a copula to have these functions as diagonal and opposite diagonal sections. We make use of techniques related...
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We 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. A simple construction method for copulas is also given.
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Article history: Received 2 March 2009 Received in revised form 2 June 2009 Accepted 4 June 2009
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Recently, Durante and Jaworski (2008) [6] have proved that the class of absolutely continuous copulas with a given diagonal section is non-empty in case that the diagonal function is such that the set of points where this coincides with the identity function has null-measure. In this paper, we show that if we consider sub-diagonals (or super-diagonals), then the framework changes. Concretely, f...
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Condition (C3) is called the 2–increasing property of C, and VC ([x1, x2]× [y1, y2]) is called the C–volume of the rectangle [x1, x2]× [y1, y2]. According to Sklar’s Theorem, copulas are functions that express the rankinvariant dependence between a pair of continuous random variables and, as such, they have been largely used in statistical applications . In particular, examples of copulas are g...
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ژورنال
عنوان ژورنال: Dependence Modeling
سال: 2018
ISSN: 2300-2298
DOI: 10.1515/demo-2018-0009