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Keywords:
algebraic bound; basic bound; copula; Diophantine equation; Fréchet class; pointed convex polyhedral cone
algebraic bound; basic bound; copula; Diophantine equation; Fréchet class; pointed convex polyhedral cone
Summary:
Algebraic bounds of Fréchet classes of copulas can be derived from the fundamental attributes of the associated copulas. A minimal system of algebraic bounds and related basic bounds can be defined using properties of pointed convex polyhedral cones and their relationship with non-negative solutions of systems of linear homogeneous Diophantine equations, largely studied in Combinatorics. The basic bounds are an algebraic improving of the Fréchet-Hoeffding bounds. We provide conditions of compatibility and propose tools for an explicit description of the basic bounds of simple Fréchet classes.
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