Uniform approximation of associative copulas by strict and non-strict copulas
نویسندگان
چکیده
منابع مشابه
Approximation of bivariate copulas by patched bivariate Fréchet copulas
Bivariate Fréchet (BF) copulas characterize dependence as a mixture of three simple structures: comonotonicity, independence and countermonotonicity. They are easily interpretable but have limitations when used as approximations to general dependence structures. To improve the approximation property of the BF copulas and keep the advantage of easy interpretation, we develop a new copula approxi...
متن کاملAssociative n - dimensional copulas
Copulas were introduced by Sklar [13] to capture the stochastic dependence structure of random variables. Recall that for n ≥ 2, a function C : [0, 1] → [0, 1] is called an n-dimensional copula (n-copula, for short) whenever it is a restriction of an ndimensional distribution function with all univariate margins uniformly distributed on [0, 1]. Hence an n-copula is characterized by the properties:
متن کاملOn Approximation of Copulas
New sufficient conditions for strong approximation of copulas, generated by sequences of partitions of unity, are given. Results are applied to the checkerboard and Bernstein approximations.
متن کاملStrong Approximation of Copulas
We introduce strong convergence in regard to approximation of copulas. This new type of convergence is useful in dealing with the-product of Darsow, Nguyen, and Olsen for copulas. We also provide tools for constructing strong approximations of copulas by using partitions of unity.
متن کاملA remark on associative copulas
Amethod for producing associative copulas from a binary operation and a convex function on an interval is described.
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ژورنال
عنوان ژورنال: Illinois Journal of Mathematics
سال: 2001
ISSN: 0019-2082
DOI: 10.1215/ijm/1258138075