| Title:
|
Asymmetric semilinear copulas (English) |
| Author:
|
De Baets, Bernard |
| Author:
|
De Meyer, Hans |
| Author:
|
Mesiar, Radko |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
43 |
| Issue:
|
2 |
| Year:
|
2007 |
| Pages:
|
221-233 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
We complement the recently introduced classes of lower and upper semilinear copulas by two new classes, called vertical and horizontal semilinear copulas, and characterize the corresponding class of diagonals. The new copulas are in essence asymmetric, with maximum asymmetry given by $1/16$. The only symmetric members turn out to be also lower and upper semilinear copulas, namely convex sums of $\Pi $ and $M$. (English) |
| Keyword:
|
asymmetry |
| Keyword:
|
copula |
| Keyword:
|
diagonal section |
| Keyword:
|
semilinear copula |
| Keyword:
|
symmetry |
| MSC:
|
60E05 |
| MSC:
|
62H05 |
| MSC:
|
62H10 |
| MSC:
|
62H20 |
| idZBL:
|
Zbl 1136.62350 |
| idMR:
|
MR2343397 |
| . |
| Date available:
|
2009-09-24T20:23:06Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/135768 |
| . |
| Reference:
|
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| Reference:
|
[2] Durante F., Mesiar, R., Sempi C.: On a family of copulas constructed from the diagonal section.Soft Computing 10 (2006), 490–494 Zbl 1098.60016 |
| Reference:
|
[3] Durante F., Kolesárová A., Mesiar, R., Sempi C.: Semilinear copulas.Submitted |
| Reference:
|
[4] Durante F., Kolesárová A., Mesiar, R., Sempi C.: Copulas with given diagonal sections: novel constructions and applications.Submitted Zbl 1158.62324 |
| Reference:
|
[5] Joe H.: Multivariate Models and Dependence Concepts.Chapman & Hall, London 1997 Zbl 0990.62517, MR 1462613 |
| Reference:
|
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| Reference:
|
[7] Klement E. P., Mesiar R.: How non-symmetric can a copula be? Comment.Math. Univ. Carolinae 47 (2006), 141–148 MR 2223973 |
| Reference:
|
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| Reference:
|
[9] Nelsen R. B.: Extremes of nonexchangeability.Stat. Papers 48 (2007), 329–336 Zbl 1110.62071, MR 2295821 |
| Reference:
|
[10] Nelsen R. B., Fredricks G. A.: Diagonal copulas.In: Distributions with given Marginals and Moment Problems (V. Beneš and J. Štěpán, eds.), Kluwer Academic Publishers, Dordrecht 1977, pp. 121–127 MR 1614665 |
| Reference:
|
[11] Nelsen R. B., Quesada-Molina J. J., Rodríguez-Lallena J. A., Úbeda-Flores M.: On the construction of copulas and quasi-copulas with given diagonal sections.Insurance Math. Econom., in press Zbl 1152.60311 |
| Reference:
|
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| . |
