| Title:
|
Sample $d$-copula of order $m$ (English) |
| Author:
|
González-Barrios, José M. |
| Author:
|
Hernández-Cedillo, María M. |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
49 |
| Issue:
|
5 |
| Year:
|
2013 |
| Pages:
|
663-691 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
In this paper we analyze the construction of $d$-copulas including the ideas of Cuculescu and Theodorescu [5], Fredricks et al. [15], Mikusiński and Taylor [25] and Trutschnig and Fernández-Sánchez [33]. Some of these methods use iterative procedures to construct copulas with fractal supports. The main part of this paper is given in Section 3, where we introduce the sample $d$-copula of order $m$ with $m≥2$, the central idea is to use the above methodologies to construct a new copula based on a sample. The greatest advantage of the sample $d$-copula is the fact that it is already an approximating $d$-copula and that it is easily obtained. We will see that these new copulas provide a nice way to study multivariate data with an approximating copula which is simpler than the empirical multivariate copula, and that the empirical copula is the restriction to a grid of a sample $d$-copula of order $n$. These sample $d$-copulas can be used to make statistical inference about the distribution of the data, as shown in Section 3. (English) |
| Keyword:
|
$d$-copulas |
| Keyword:
|
fractal copulas |
| Keyword:
|
sample $d$-copulas of order $m$ |
| MSC:
|
60A10 |
| MSC:
|
60E05 |
| MSC:
|
62E10 |
| MSC:
|
62F05 |
| idZBL:
|
Zbl 06239460 |
| idMR:
|
MR3182633 |
| . |
| Date available:
|
2013-11-27T09:41:59Z |
| Last updated:
|
2015-03-29 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/143517 |
| . |
| Reference:
|
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