Article
Full entry |
PDF
(0.2 MB)
Feedback
PDF
(0.2 MB)
Feedback
Keywords:
1-Lipschitz condition; 2-increasing property; copula; quasi-copula; tail dependence
1-Lipschitz condition; 2-increasing property; copula; quasi-copula; tail dependence
Summary:
We study a wide class of copulas which generalizes well-known families of copulas, such as the semilinear copulas. We also study corresponding results for the case of quasi-copulas.
References:
[1] Alsina, C., Nelsen, R. B., Schweizer, B: On the characterization of a class of binary operations on distribution functions. Statist. Probab. Lett. 17 (1993), 85-89. DOI 10.1016/0167-7152(93)90001-Y | MR 1223530 | Zbl 0798.60023
[2] Calvo, T., Kolesárová, A., Komorníková, M., Mesiar, R.: Aggregation operators: Properties, classes and construction methods. In: Aggregation Operators: New Trends and Applications (T. Calvo, G. Mayor, R. Mesiar, eds.), Physica-Verlag, Heidelberg 2002, pp. 3-104. MR 1936384 | Zbl 1039.03015
[3] Cuadras, C. M., Augé, J.: A continuous general multivariate distribution and its properties. Comm. Statist. A - Theory Methods 10 (1981), 339-353. DOI 10.1080/03610928108828042 | MR 0612401 | Zbl 0456.62013
[4] Amo, E. de, Carrillo, M. Díaz, Fernández-Sánchez, J.: Characterization of all copulas associated with non-continuous random variables. Fuzzy Sets and Systems 191 (2012), 103-112. MR 2874826
[5] Baets, B. De, Meyer, H. De, Mesiar, R.: Assymetric semilinear copulas. Kybernetika 43 (2007), 221-233. MR 2343397
[6] Durante, F., Sánchez, J. Fernández, Úbeda-Flores, M.: Bivariate copulas generated by perturbations. To appear.
[7] Durante, F., Rodríguez-Lallena, J. A., Úbeda-Flores, M.: New constructions of diagonal patchwork copulas. Inform. Sci. 179 (2009), 3383-3391. DOI 10.1016/j.ins.2009.06.007 | MR 2574347 | Zbl 1190.62101
[8] Durante, F., Kolesárová, A., Mesiar, R., Sempi, C.: Semilinear copulas. Fuzzy Sets and Systems 159 (2008), 63-76. MR 2371303
[9] Embrechts, P., McNeil, A. J., Straumann, D.: Correlation and dependence in risk management: Properties and pitfalls. In: Risk Management: Value at Risk and Beyond (M. A. H. Dempster, ed.), Cambrigde University Press, Cambridge 2002, pp. 176-223. MR 1892190
[10] Frahm, G., Junker, M., Schmidt, R.: Estimating the tail dependence coefficient: Properties and pitfalls. Insurance: Math. Econom. 37 (2005), 80-100. DOI 10.1016/j.insmatheco.2005.05.008 | MR 2156598 | Zbl 1101.62012
[11] Fréchet, M.: Remarques au sujet de la note précédente. C. R. Acad. Sci. Paris Ser. I Math. 246 (1958), 2719-2720. MR 0099729 | Zbl 0084.35804
[12] Fredricks, G. A., Nelsen, R. B.: Copulas constructed from diagonal sections. In: Distributions with Given Marginals and Moment Problems (V. Beneš, J. Štěpán, eds.), Kluwer, Dordrecht 1997, pp. 129-136. MR 1614666 | Zbl 0906.60022
[13] Genest, C., Quesada-Molina, J. J., Rodríguez-Lallena, J. A., Sempi, C.: A characterization of quasi-copulas. J. Multivariate Anal. 69 (1999), 193-205. DOI 10.1006/jmva.1998.1809 | MR 1703371 | Zbl 0935.62059
[14] Jaworski, P., Durante, F., Härdle, W., Rychlik, T.: Copula Theory and its Applications. Lecture Notes in Statistics - Proceedings. Springer, Berlin - Heidelberg 2010. Zbl 1194.62077
[15] Joe, H.: Multivariate Models and Dependence Concepts. Chapman and Hall, London 1997. MR 1462613 | Zbl 0990.62517
[16] Jwaid, T., Baets, B. De, Meyer, H. De: Orbital semilinear copulas. Kybernetika 45 (2009), 1012-1029. MR 2650080 | Zbl 1186.62067
[17] Nelsen, R. B.: An Introduction to Copulas. Second edition. Springer, New York 2006. MR 2197664 | Zbl 1152.62030
[18] Nelsen, R. B., Fredricks, G. A.: Diagonal copulas. In: Distributions with Given Marginals and Moment Problems (V. Beneš, J. Štěpán, eds.), Kluwer, Dordrecht 1997, pp. 121-128. MR 1614665 | Zbl 0906.60021
[19] Sklar, A.: Fonctions de répartition à $n$ dimensions et leurs marges. Publ. Inst. Statist. Univ. Paris 8 (1959), 229-231. MR 0125600
[20] Sklar, A.: Random variables, joint distribution functions, and copulas. Kybernetika 9 (1973), 449-460. MR 0345164 | Zbl 0292.60036
Search
Partner of
