Copulas with fractal supports
نویسندگان
چکیده
منابع مشابه
On concordance measures and copulas with fractal support
Copulas can be used to describe multivariate dependence structures. We explore the rôle of copulas with fractal support in the study of association measures. 1 General introduction and motivation Copulas are of interest because they link joint distributions to their marginal distributions. Sklar [12] showed that, for any real-valued random variables X1 and X2 with joint distribution H, there ex...
متن کاملCoping with Copulas
2 Copulas: first definitions and examples 3 2.1 Sklar’s theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4 2.2 Copula densities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.3 Conditional distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5 2.4 Bounds of copulas . . . . . . . . . . . . . . . . . . . . . . ...
متن کاملCopulas with maximum entropy
We shall find a multi-dimensional checkerboard copula of maximum entropy that matches an observed set of grade correlation coefficients. This problem is formulated as the maximization of a concave function on a convex polytope. Under mild constraint qualifications we show that a unique solution exists in the core of the feasible region. The theory of Fenchel duality is used to reformulate the p...
متن کاملA class of multivariate copulas with bivariate Fréchet marginal copulas
In this paper, we present a class of multivariate copulas whose two-dimensional marginals belong to the family of bivariate Fréchet copulas. The coordinates of a random vector distributed as one of these copulas are conditionally independent.Weprove that thesemultivariate copulas are uniquely determined by their two-dimensional marginal copulas. Some other properties for thesemultivariate copul...
متن کاملOn Trivariate Copulas with Bivariate Linear Spearman Marginal Copulas
Based on the trivariate reduction technique two different trivariate Bernoulli mixtures of univariate uniform distributions and their associated trivariate copulas with bivariate linear Spearman marginal copulas are considered. Mathematical characterizations of these Bernoulli mixture models are obtained. Since Bernoulli mixture trivariate reduction copulas are not compatible with all valid gra...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2005
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2004.12.004